Now that we're in official panic mode as we wait for the Fed, I wanted to put this volatility pop in greater context. Implied volatility (IV) has lifted in line with realized volatility (RV) almost perfectly. Ten-day RV in the S&P 500 Index (SPX) is up to the mid-18s, meaning that CBOE Volatility Index (VIX) in the low-to-mid-20s vol maintains that typical IV-HV premium near 4.

Here's the deal, though -- that's not terribly normal. Usually when RV lifts, IV is relatively slow to follow. That's because options markets tend to assume mean reversion. Most of the time, that manifests in the aforementioned IV-HV premium at periods of low volatility. That's really a common state of the volatility market ... RV around 10-12, IV around 14-16.

And then volatility pops, and VIX goes up. But RV usually lifts faster, as now the mean reversion assumptions hangs the other way.

If you told me 10-day RV would pop from 10 to 18 over the course of a couple weeks, as we've seen, and then asked me to guess VIX, I'd have said "high teens." Clearly, I would have guessed wrong, as VIX has broken above 25.

This time is "different," though. (Isn't this time always different?)

Now we have the Fed about to come down off Mt. Sinai with their Rate Commandments. Even though there's the tiniest bit of uncertainty that they raise, there's some uncertainty as to whether they give hints regarding how far the hikes will go, how frequently they'll hike, who they like in the college football championship, and how they plan to get out of their longstanding New Year's Eve plans so they can watch.

So, yes -- it makes some sense that there's a bit of vol premium in the here and now. Throw in the high-yield bond crisis that seems to have suddenly obsessed the financial news networks, and we have a recipe for some nervousness.

But to that I counter, there's always something worrisome out there. Remember Greece, anyone? China? And hey, there's good news on the way. If the Fed hikes and the credit crisis persists, the Fed can now cut rates! I'm pretty sure someone, somewhere is making that argument.

Fed worries explain some VIX popping, but then why the VIX futures popping? That's a second derivative of overreaction, as we noted the other day. They wouldn't lift much at all if we were worried about a bad Fed reaction. Maybe some bond jitters?

It's certainly possible that VIX was just too cheap, and now it's "right". Of course, many have made that argument every time VIX has spiked in the last five years. One of these days, the pop will persist. I don't know why this is THE time, as opposed to the myriad others. I suspect the "real" one will sneak up on us over time, as opposed to starting with a blast, and it will not be accompanied by an outsized reaction in the VIX futures.

Disclaimer: Mr. Warner's opinions expressed above do not necessarily represent the views of Schaeffer's Investment Research.

A higher CBOE Volatility Index (VIX) is ahead … at least according to ZeroHedge. And we can blame the credit markets for said VIX boom:

"For the first time since August 2008, high-yield bond 'VIX' is greater than US equity 'VIX'. The 1-month implied vol of HYG has surged over 21 - its highest since October 2011. The last time credit's volatility surged above stocks like this, VIX quickly accelerated well beyond 40, pricing in the increased business risk. Furthemore (sic), just as we saw in July/August, the cost of protecting equity markets is beginning to accelerate up to the surging cost of protecting credit markets. Both credit levels and risk suggest VIX is going notably higher."

I would note a couple things:

1. It's always time for higher vol in ZeroHedge land.
2. He's not really at all alone on this one: 99.9% of pundits expect higher vol, and there's some consensus that credit players use VIX products as a hedge, so it's not a real wild theory here.

But alas, we have some caveats with this scenario, and it has nothing to do with yesterday's relief rally … or a new bull market rally, or whatever it was. Rather, there's just no particular evidence that credit markets are going to drive up vol so spectacularly.

An implosion in high-yield debt yields can certainly send us for a loop. And if stocks get bashed, volatility will certainly spike. I also believe that credit players do use VIX paper to hedge. But the credit markets don't fully explain the outsized gains in VIX futures and VIX derivatives in the past week.

Let me explain. I'm going to use SPDR Barclays High Yield Bond ETF (NYSEARCA:JNK) and iShares iBoxx $ High Yield Corporate Bond ETF (NYSEARCA:HYG) as proxies for the high-yield debt market, and the iPath S&P 500 VIX Short-Term Futures ETN (VXX) as a proxy for VIX derivatives. I looked at the correlations between the day-over-day moves in VXX and VIX to the day-over-day moves in JNK, HYG, and the SPDR S&P 500 ETF (SPY), going back to the birth of VXX in January 2009.

Both VXX and VIX do correlate a bit with the bond ETFs. They just correlate a lot more with the market itself.

That doesn't disprove the thesis that high-yield unrest drives VIX derivatives trading, especially given that credit is apparently driving stocks in general lately. But if it was, I'd expect the correlation to at least be spiking a bit. But that's not the case either. Here's a rolling 20-day correlation of HYG moves to VXX moves, as well as a rolling correlation of SPY moves to VXX moves.

I multiplied them all by negative one so higher magnitude is "higher." There has been a spike in HYG correlation recently, but it's no more noteworthy than the spike in SPY correlation. There are various other points in time where the HYG correlation looked more significant on a relative basis than it does now.

All in all, I don't doubt that credit woes are moving stocks lately. I just don't see much evidence that they're particularly significant, relative to the recent move in VIX derivatives.

Disclaimer: Mr. Warner's opinions expressed above do not necessarily represent the views of Schaeffer's Investment Research.

I got so excited about the Historic and Most Important Fed Decision Ever that I literally forgot that CBOE Volatility Index (VIX) options expired on the opening rotation. And… it wasn't really all that exciting. December VIX "settled" at 19.23, which was actually in line with the opening range.

December VIX had a high of 19.48 in the first five minutes of trading, and a low of 18.84. Thus the settlement seems in line with the actual VIX for a change. It looks a little choppier when you change it to the one-minute chart.

VIX gapped from 19 straight to 19.4 about four minutes into the trading day, which sure seems like a lot, considering the market itself didn't actually do much right after gapping up.

You probably (hopefully) know the punch line: VIX settles based on the opening rotation in all qualified S&P 500 Index (SPX) series. All sorts of series trade on the open of every expiration. Here's a link to the Chicago Board Options Exchange's (CBOE) rundown of all qualified series for this go-around.

As you can see, it goes down to the January 2016 1,050-strike puts, because of course it does. By the time the dust all settled, the settlement price looks fair. I'd also add the CBOE is at least transparent about the process. You can see the imbalances ahead of time, and you can see the series that ultimately go into the settlement.

But that doesn't make me ever want to leave a VIX position on for expiration. That is, of course, hypothetical, since I don't trade VIX options. But if I did, I would always close ahead of the expiration runoff. Remember that trading in futures and options stops on the previous close.

It's pure dice rolling on both the opening move in the market and the impact of all these SPX puts on the settlement price. This time it landed in line; last cycle, not so much. Next cycle, who possibly knows?

Disclaimer: Mr. Warner's opinions expressed above do not necessarily represent the views of Schaeffer's Investment Research

Well, that was certainly an interesting week. As is often the case, we didn't actually move much net-net, down less than 1%. But that, of course, belied the actual volatility.

We had a major event -- the historic rate hike. We then had "relief" over said rate hike, then consternation over said rate hike, culminating in yet another "can't go home long this weekend, sell everything" Friday.

For a year that's not seen much in the way of a net move, we sure have a lot of these terrible Friday tapes. And this one was quadruple witching!

As is often the case on witches, the "pundit sphere" started talking up quadruple witch volatility well before the opening bell. To which I tweeted:

Quadruple witch day DOES NOT cause volatility....it can push a move farther, but by and large the vol add on is way over-rated #JustSaying

— adam warner (@agwarner) December 18, 2015

Let me explain, since 140 characters often tends to cause more confusion than clarity. Quadruple witching is that glorious day four times a year where pretty much every product everywhere has options expiring. Some are on the open -- I'm looking at you, S&P 500 Index (SPX) -- but most are on the close. When options expire, it can cause a self-fulfilling move in the markets, as owners and shorts need to adjust their positions to the fact that all non-cash-settled options are either turning into shares of stock or into worthless wallpaper. Thus, players need to adjust in order to not have too much exposure.

It sounds like it will cause an avalanche of volatility, and that's clearly a common perception. But it's not the reality. There's no statistical evidence quadruple witches are excessively volatile. That's mainly because option longs don't always "win."

It's important to remember that options are a zero-sum game. For every option short getting squeezed on a volatile day, there's an option long getting a big payday. What witches (and, really, any expiration) tend to do is pile on the volatility move already in progress. It doesn't actually cause the volatility, and that's where the big misconception lies.

Consider a very quiet and non-volatile day that coincides with an expiration. Option longs are now the ones under pressure, as any premiums on their longs are about to evaporate. They often try to offset that erosion by either selling the options outright (perhaps rolling into a later cycle) or flipping stock around a strike price they own.

Remember expiration pinning? Seems like a topic from another era, but that's the dynamic. Option shorts can more or less sit back and collect much of their remaining premium. In these sorts of days, quadruple witch tends to dampen volatility.

Last Friday was, of course, the opposite. Option shorts were scrambling, and that tends to feed on itself -- as the worse the market gets, the more pain and the more necessity to pile on the selling in order to defend bad positions. Further, losses on option shorts are open-ended, whereas losses on option longs are limited to whatever you paid. Thus, the moves on volatile expirations are relatively large.

Quadruple witch very likely added onto what was already an ugly day. In 2015, ugly Fridays have become so common that I'd guess that played a factor, as well.

None of this is at all to say quadruple witch is irrelevant. Rather, I'm saying it's overstated as a vol driver. Don't go load up on volatility ahead of the next one, as it's just as likely to be a dud as it is to be a monster vol day. I'd even suggest it's more likely to be a dud, as it's likely too many will play for a vol explosion next go around.

Disclaimer: Mr. Warner's opinions expressed above do not necessarily represent the views of Schaeffer's Investment Research.

The year of churn and frustration, 2015, has almost come to a close. We have six sessions left, most of which figure to be quite slow.

Famous last words, but I still would not anticipate much in the way of volatility. But alas, everybody on TV anticipates higher volatility going forward. I mean, literally everybody.

Since I'm pretty sure that the predictions were all the same for 2015, I wanted to take a quick look back at the year in volatility, with an emphasis on volatility as an asset class.

The CBOE Volatility Index (VIX) -- right here, right now -- is actually down a bit in 2015, but that's mostly a quirk of timing, as it spiked a bit at the end of 2014. Median VIX for 2015 is 15.29, up slightly on the year. So let's call it a modestly positive year for implied volatility. I wouldn't call it a wild ride, though.

That's just implied vol. Realized volatility (RV) measures the actual volatility in the underlying. That has actually trended up a bit, particularly in the latter part of 2015. Ten-day RV on the S&P 500 Index (SPX) started 2015 at around 11, which is historically fairly normal for a low-volatility regime. It spent pretty much the first 7.5 months of 2015 at that level or lower, but then spiked to as high as 42 in the August market melt. It gradually drifted back down again to single digits in the fall, but has started rising again recently, and now sits at 21.  

Throw it all together, and it's safe to say that internal volatility is trending higher, and implied volatility is nudging up as well. So, good year for volatility "assets," right? Or at least, not a terrible one, seeing as how volatility itself wasn't a disaster. We all know that contango and compounding (or lack thereof) are quite unhelpful over time. But you'd think 2015 was good enough for the asset gang. But think again.

Here's a chart of the move in the SPDR S&P 500 ETF Trust (SPY) in 2015 vs. the inverse of VIX, the iPath S&P 500 VIX Short-Term Futures ETN (VXX), and the ProShares Trust Ultra VIX Short-Term Futures ETF (UVXY) (i.e., 2x VXX). That is what happened if you went short any of these (and no, you can't actually go short VIX; it's just there for comparison's sake). I also added the VelocityShares Daily Inverse VIX Short-Term ETN (XIV), which actually does track the inverse of VXX.  

Far and away the best idea in 2015 was going short UVXY. It "earned" 75%! And that was in a decent year for volatility.

XIV is pretty horrendous in its own right, down 19%. It's supposed to capture the inverse of VXX, which sounds like a great idea. The problem is that constant churn can kill a tracker, thanks to compounding. And all those late-year volatility pops served to churn VXX a bit. As you can see on the chart, XIV was actually doing pretty well until August, but has been an absolute disaster ever since.

The moral of the story, as always, is avoid these pups on the long side. Shorting works well, but carries huge risk of getting slammed in a volatility pop. It also isn't always possible -- UVXY, for example, is hard or impossible to borrow. That also means there's interest charges on shorts, which makes those returns above not realistic -- it's more for illustration purposes.

Disclaimer: Mr. Warner's opinions expressed above do not necessarily represent the views of Schaeffer's Investment Research.

I keep mentioning everyone on TV expects a volatility pop in 2016. That's not unusual because they always expect volatility to go up, looking forward. CBOE Volatility Index (VIX) futures almost always price in higher vol out in time, so it's hard to really argue. But truthfully, when VIX does have one of its sporadic pops, VIX futures tend to go into backwardation, whereas pundits never do -- they'll still call for higher vol.

I agree with both, in a sense, but really for an actual reason other than "VIX looks too low for all the risks ahead." Rather, I do feel that we're slowly moving from a long-term low-volatility regime to a high-vol regime. But that's a topic for another day.

There is one reason I'm hearing for the 2016 volatility spike -- that is, it's an election year. That begs a question, of course: Does VIX actually do well in election years?

If it does, I'm hard-pressed to find evidence for it. Here's a look at VIX each election year back to 1992:

And here's another view:

Well, there's six election years. Three of them saw strong VIX, three saw weak VIX. There's perhaps a modest trend to volatility going higher in October. Maybe that's evidence of some options bid-up ahead of the election -- but keep in mind that's a seasonally strong time of year for volatility in all years.

We were clearly very nervous in 2008 -- thanks, Obama! But I'm pretty sure it had more to do with the Lehman implosion.

The election will have some impact on volatility, but I doubt it's a major driver, mainly because it rarely produces a surprise. We'll know for most of the fall who's likely to win, and investors will adjust accordingly.

Disclaimer: Mr. Warner's opinions expressed above do not necessarily represent the views of Schaeffer's Investment Research.

It's hard to believe we have another year about to hit the books. They go faster every year, which I guess is because it's always a smaller percentage of our lives. But hey, I promised no math! Instead, let's look at a picture.

I bet you were curious about what a typical year in the CBOE Volatility Index (VIX) looks like. Well, here's the average VIX reading for each day of the year. My VIX data goes back to 1990, so coincidentally (or not) I set the X axis to read as 1990 dates, but it's actually the average of all first trading days of the year, second trading days of the year, and so on, to the average of all 252nd trading days of the year. There were actually a few 253rd and 254th days, but not enough, and they distorted the chart in a non-representative sort of way, so I eliminated those. Anyway, here's how it looks:

It's a bit as we would expect. VIX typically troughs in late June. Anecdotally, from my years as a floor trader, the stretch between June expiration and the July 4th holiday is the slowest time of the year, and it makes sense that it's also the least volatile. VIX then starts to lift, peaking in early October. We don't see an autumn VIX blast every year, but when we do, it's often a doozy. That's followed by the gradual drop back to norms at the end of the year.

If there's one thing I find surprising, it's that we don't see another trough in late December, and then a bit of a spike into mid-January earnings season. It really just gets back to equilibrium at the end of the year, then just stays in that range, on average, for the first few months of the new year.

If it's a typical year, then what you see in VIX right now is basically what we're going to get for the next few months. And that is something I wouldn't find shocking at all. Realized volatility picked up recently, but that's starting to fade already, and seeing 10-day realized volatility settle back in the 12-15 range seems about right. Add some premium to VIX and mid-to-high teens seems reasonable, too.

I'm not saying we won't see spikes in the first quarter of 2016. I mean, who really knows? The timing is unpredictable by definition. I'm just suggesting that I expect us to see VIX around these levels, for the most part.

Disclaimer: Mr. Warner's opinions expressed above do not necessarily represent the views of Schaeffer's Investment Research

It's time for one of my favorite year-end traditions that doesn't involve football games. Yes, it's the Year-End Prediction Game. So put your seatbelts on. Time to get some value add with your champagne!

1. 2016 will be a stock picker's market

Okay, not to be confused with 2015, which was a stock picker's market, in that if you didn't pick Amazon.com, Inc. (NASDAQ:AMZN) or Facebook Inc (NASDAQ:FB) or a couple others, you had an uphill climb trying to beat the market.

Of course, it's always a stock picker's market! No one's going to go on TV and tell you that indexing will probably outperform stock picking for most. And no one's predicting that using a dartboard will outperform stock picking going forward. But indexing does make more sense for most. Dartboards probably not so much.

But we can actually quantify how stock picking might do in the options world. Here's a look at implied correlation in the S&P 500 Index (SPX) via the CBOE S&P 500 Implied Correlation Index (ICJ).

It's far from a perfect gauge, but it does suggest that correlation assumptions are declining. And that means, yes, investors are pricing in more dispersion ... and stock picking might work!

2. Volatility will rise in 2016!

We discussed this the other day. Yes, it's a broken clock prediction, but ... yes, volatility will probably trend up in 2016. CBOE Volatility Index (VIX) futures certainly expect a modestly higher VIX going forward.

Of course, they’re a bit of a broken clock too, as they always "predict" higher vol going forward. 

3. Expect 8-10% gains next year

So, I read this headline and I’m thinking it sounds like doom and gloom, which would be shocking to see on MarketWatch:

But alas, I misread it as a prediction that the market would do worse in 2016 than 2015, which according to my math means we’re down next year. It actually is something quite different:

"Optimism in the stock market took a hit in 2015. The average year-end 2016 target for the S&P 500 for the 10 strategists surveyed by MarketWatch is actually lower than the average of their original 2015 targets. At this time last year, the strategists had pegged the S&P 500 ending 2015 at an average of 2,201. For the end of 2016, those same analysts have an average target of 2,193."

So 10 strategists guessed SPX would be 2,201 at the end of 2015; now those same 10 strategists predict SPX will be 2,193 at the end of 2016. Now that’s … not really cosmic. I mean, that’s a rounding error on something 12 months away.

The consensus is close to 6% gains, a bit lower than the standard 8-10% predictions we hear every year. That’s a slightly bearish call, so it's a (tiny) anecdotal contra tell.

Disclaimer: Mr. Warner's opinions expressed above do not necessarily represent the views of Schaeffer's Investment Research

Time for a little Twitter mail! Full disclosure: It's not actually my Twitter mail, I just got included at the end of the conversation.

Let me unpack this a little, since it's a tough question to answer in 140 characters. HV is historical volatility, same as realized volatility. It's the actual volatility of the underlying. The "10" is the time frame, so HV10 looks at the last 10 days of trading.

I do tend to use HV10 for all comps, but there's nothing particularly wrong with using more days. I use the "10" because, to me, it's more representative of the here and now. And options tend to price on the volatility in the here and now. In fact, that's a much bigger driver than expectations of future volatility. The best way to say it is that if you want to predict future volatility, simply look at the recent past.

Implied volatility (IV) under HV is atypical, but far from unprecedented. Over time, we generally see IV30 with a 3-to-4 point premium to HV. But that certainly varies. HV lags, and right now it still includes some relatively volatile sessions from one and two weeks ago. IV looks forward and sees a long weekend, and not all that much in the way of expected news into January earnings. In fact, an individual stock that has gapped post-earnings is the perfect example of HV deviating wildly from IV. Specifically, HV will shoot up and IV will decline with the news out. Options may look "cheap," but they're quite likely not. It's an apples-to-oranges question.

And that leads me to the latter part of the comparison. Why compare HV10 to IV30? Why not HV10 to IV10 -- basically, CBOE Short-Term Volatility Index (VXST), if you're talking about the S&P 500 Index (SPX) -- and HV30 to IV30, etc.

The answer is again apples to oranges. HV lags and is measured in trading days. HV10 is basically two weeks' worth of realized vol. IV looks forward and is measured in calendar days. Even if you adjust the syntax (call is IV23, e.g.), there's no particular reason why you'd need to look at the same time frame going two different directions.

Disclaimer: Mr. Warner's opinions expressed above do not necessarily represent the views of Schaeffer's Investment Research.

Interest in CBOE Volatility Index (VIX) options has dwindled in the fourth quarter, with put open interest now sitting in territory not charted in more than five years, and call open interest tumbling to near-term lows of its own. Does this mean volatility traders are bracing for a boring 2016? 

In mid-September -- less than a month after the late-August swoon sent the "fear gauge" to six-year highs, and about a month prior to the highly anticipated October Fed meeting -- VIX put open interest peaked at 4.33 million contracts, per Trade-Alert. In the subsequent three months, VIX put open interest has plummeted more than 75%, breaching 1 million contracts on Dec. 17 -- the lowest reading since August 2010, according to Schaeffer's Quantitative Analyst Chris Prybal. This echoes second-half declines in 2014 and 2011 -- the comparison du jour.

But does that mean traders are rushing to buy VIX calls? Not exactly. After touching a multi-year high north of 9 on Nov. 30 -- before the December Fed meeting and the massive expiration of VIX options -- the VIX 10-day buy-to-open call/put volume ratio dropped roughly 66%, and sat at 2.58 on Dec. 15. In fact, VIX call open interest is now flirting with eight-month lows in the 3.2 million range -- a drop of more than 50% from its peak of 7.43 million on Aug. 24.

Although retail advisors, active investment managers, and equity option traders appear more cautious than this time a year ago -- as noted by Schaeffer's Senior VP of Research Todd Salamone in this week's Monday Morning Outlook -- it doesn't seem Wall Street is rushing to gamble on a VIX surge... or a VIX anything, considering VIX open interest has plummeted across the board. Perhaps with the Fed rate hike in the rearview mirror, and the S&P 500 Index (SPX) essentially calling 2015 a wash (despite big daily moves), investors may just feel that volatility, once the "hot trade," is no longer as compelling since the Fed pulled the trigger.

Happy 2016! I guess flattish is better than down, but here's to hoping we get a better stock market in 2016. But before we turn the page, let's take a final look at 2015.

The SPDR S&P 500 ETF Trust (SPY) rallied a little, sold off somewhat violently, made back the losses, and then basically went into the four-minute offense in an attempt to close green on the year. It didn't quite work, as it closed down 0.87% -- although if you factor in dividends, it showed small gains.

The CBOE Volatility Index (VIX) closed the year down 5.16%, but that's a shade misleading, thanks to the random endpoints. The median VIX was 15.29, up from a median VIX of 13.67 in 2014.

The relationship between VIX and SPY was as close as ever, albeit in a negative way. The correlation of VIX day-to-day changes to SPY moves was negative 0.87, and the best fit multiplier was negative 7.99 (meaning if I told you the SPY move, multiply it by negative 7.99 to get the VIX move). Both of these measures were historically high, suggesting VIX was quite responsive to every little SPY tweak.

The iPath S&P 500 VIX Short-Term Futures ETN (VXX) put in its usual stellar performance. And by "stellar," I of course mean "atrocious." It pared a mere 36.21% of its "value" in 2015. It had its moments, though. If you woke up on Aug. 17 and decided volatility was about to explode, and then sold out two weeks later, you would have made 95%. In two weeks!

And that's actually why, mentally, it's a very tough short -- even though it ALWAYS works over the course of time. You have to have a mindset to withstand some scary rallies in your face.

VXX proxies a rolling 30-day VIX future, and thus is a good proxy for actually maintaining a constant duration futures short. The "theoretical" vol futures trade actually did much better in 2015. Here's the term structure as it closed on Thursday vs. the close of 2014. The whole board was up about half a volatility point, and that's with VIX actually lower now than at the end of 2014.

Chart courtesy of VIXCentral.com

Throw it all together, and it suggests we're at a higher fear state now than we were entering 2015. If you consider that a contra tell, it's a bullish sign on the margins heading into the new year.

Disclaimer: Mr. Warner's opinions expressed above do not necessarily represent the views of Schaeffer's Investment Research.

Let's start our year with a positive point. You're probably outperforming the market so far in 2016!

On the flip side, it's very likely you have no recollection of opening the year worse than we did yesterday. You'd have to go back to 1932 to find an uglier start to a calendar year. The good news is, we didn't come close to that year's drop of over 8%.

The CBOE Volatility Index (VIX) rose nearly 13.67%, making it the largest lift for "Trading Day 1" of any calendar year. The previous high was an 11.69% lift on Jan. 2, 2001. In general, strong VIXes are unusual for the first day of the year. Here they all are, back to 1990:

In fact, excessive VIX pops in January are relatively uncommon, and in early January, they're unlikelier still. VIX lifted 11.97% on Jan. 5 last year, which ranked as the 262nd largest one-day VIX lift ever. Not counting yesterday, that marked the 19th largest January VIX pop ever:

Using that 11.97% as a floor, yesterday marked only the fifth time ever that VIX has popped at least that much in the first 10 days of a year. Using the "Poisson-a-tron," there's only a 27% chance of seeing an observation that low (or lower), suggesting yesterday was a somewhat unlikely day to have seen such a vol pop.

But, here's some good news: A one-day VIX pop, in general, does not predict future stock returns all that well. The correlation between the VIX move and stock returns one month out is 0.0249 over all days.

BUT, if we look at just the correlation of the VIX move on Day 1 of the year vs. returns one month out, that correlation jumps to 0.2523. That suggests this sort of VIX pop is modestly bullish going forward. So we have that going for us!

And hey, we have another "positive." VIX is closing in on overbought, in that it's about 17.25% above its 10-day simple moving average (SMA).

I'm in the process of retiring the table I run every time VIX closes >20% the SMA. The reason is that I've run it on a "since 2009" basis. But I'm starting to come to grips with the assumption that we're in a VIX regime change, and I'm no longer just comparing observations from a "low" VIX regime. Thus, it's a somewhat arbitrary endpoint. But FWIW, here's how it looks:

Disclaimer: Mr. Warner's opinions expressed above do not necessarily represent the views of Schaeffer's Investment Research.