Daily SPX moves when above vs below 200 day simple moving average

Eddy Elfenbein commented about the importance of the 200 day SMA when looking at volatility, so I decided to take a look.

First, I looked at the VIX when SPX above vs below the 200 day SMA – these are the median values for the past 20 or so years.   More recent periods have less volatility

vix when SPX below 200 day SMA 25.08
vix when SPX above 200 day SMA 15.68

Now looking at daily moves over the same time period:

% daily change when SPX median down up
 below  200 SMA 0.97% 1.07% 0.82%
 above  200 SMA 0.44% 0.40% 0.47%
all days 0.55%

I’m surprised at the results – the daily moves are twice as much when the SPX is below the 200 day SMA then when it is above the 200 day SMA.  Similar results if you look at the 100 SMA day, although the percentage moves are a little less (.88% vs .97%, .43% (100) vs .44%(200)).  If you look at the last 10 years or so:

% daily change when SPX median down up
 below  200 SMA 0.88% 1.12% 0.78%
 above  200 SMA 0.33% 0.29% 0.39%
all days 0.36%

I also find it interesting that when below the 200 day, the down moves are larger than then up moves, but above the 200 day, the up moves are typically larger than the down moves.

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