The VIX is a Great Measure of Daytrading Opportunity

I want to thank Dave Mabe of Stock Tickr for taking the time to post an interview with me on his site. You'll notice Stock Tickr is one of the Trader Development resources that I list on my personal site. It's a unique concept, allowing users to scan other traders' watchlists and follow their performance.

Thanks also to Woodie of Woodie's CCI Club for posting my online session with club members.

It turns out the VIX is a pretty good measure of market opportunity for intraday traders. Since March, 2003 (N = 793), the average high/low range in SPY has been 1.06%, and the absolute value of the average move from open to close has been .54%.

When VIX has been below 12 (N = 132), the average high/low range has been .80% and the average move from open to close has been .38%. When VIX has been above 20 (N = 89), the average range has been 1.72% and the average open to close move has been .92%.

Here's another way of viewing the data: The odds of getting a 1% range in SPY are about 28% when VIX <> 20. Such information is helpful in gauging profit targets and might well prove helpful in forecasting the likelihood of trending or breakout moves.