How To Ready The VIX? – Weekend Effect And Monday Effect

Do you want to read the VIX? A quick answer is to watch the S&P 500 movement and its options. They have a strong inverse correlation.

However, VIX also exhibits an interesting weekly pattern.

Have you ever noticed that VIX seems to go lower on Fridays (VIX Weekend effect) and jump back higher on Mondays (VIX Monday effect)?

This is not really something new, especially for traders like us who trade VIX options. This has been discussed by other VIX-related blogs such as this one and this one.

The concept makes sense because VIX is calculated with SPX options so the Weekend effect and the Monday effect likely are due to a combination of the following reasons.

  • The market closes down SPX options positions before the weekend (avoid time decay, avoid unexpected news, etc.)
  • The market opens new SPX positions on Monday (to continue the position that was taken off on Friday)
  • Many Weekly and Monthly options expiry occur on Friday

While there are some in-depth analyses or explanations on this topic out there, I was looking for a simpler data visualization to see the relationship between VIX and SPX.

As mentioned earlier, it is known that VIX and SPX have an inverse relationship, but I wanted to see how that plays out with the Weekend effect and the Monday effect.

Since I couldn’t find one, I decided to do a quick analysis myself.

VIX & SPX Data Analysis

Looking at only VIX data, it shows clearly that Monday does indeed have a higher percentage of VIX going up, while Friday has a higher percentage of VIX going down (yellow cells) when compared to the prior day.

Date range: 10 years (8/6/2012 – 8/5/2022)

VIX up and down data

When aligning VIX with SPX data, something really interesting pops up.

Since VIX and SPX have an inverse relationship, (VIX goes up when SPX goes down and vice versa), it makes sense that the majority of the data would fall in the cells of VIX and SPX are “Up & Down” or “Down & Up”.

On the other hand, it’s rarer to see both VIX and SPX are “Up & Up” or “Down & Down” in general.

So it is interesting to see Monday has more “Up & Up” while Friday has more “Down & Down” days (yellow cells) indicating there are Monday and Friday effects.

VIX and SPX going up and down

When expressing these numbers in percentages, we can clearly see the presence of the Weekend effect and the Monday effect on these “Up & Up” or “Down & Down” days.

Vix and SPX “Up & Up” Monday is 16%, and “Down & Down” Friday is 15%, which are both higher than the Total average of 10%.

VIX SPX up and down in percentage

In other words, VIX on Mondays and Fridays tend to move up and down respectively disregarding which way the SPX moves.


Based on this data, if you are shorting VIX options for income generation, it is better to close it on Fridays and open it on Mondays.

If you are opening VIX options for hedging, it’s better to open it on Fridays when VIX is lower and close it on Mondays when VIX tends to be higher.

Of course, the above statements assume the market condition is aligned with those days (Monday or Friday) at the time to execute such trades.

Worried About A Market Crash? Check VIX, VIX9D, VIX3M, And VIX6M!

I bet you probably thought this was going to be another “buy VIX future or options to prepare for a market crash” article.

Sorry to disappoint you but I am not going to recommend that in this article. What I will discuss though, is provide some examples of how using VIX, VIX9D, VIX3M, and VIX6M could help you foresee a market crash.

What are VIX, VIX9D, VIX3M, and VIX6M?

VIX as you might know is the 30-day forward projection of volatility by calculating the changes in SPX index options.

The other three as their name suggests, VIX9D is the 9-day forward projection, VIX3M is the 3-month forward projection, and VIX6M is the 6-month forward projection.

The reason to monitor these other VIX-related indices in addition to VIX itself is to gain insights into what the market is expecting to happen in those time frames.

A lot of times, VIX would jump substantially but it reverses immediately because the nature of the volatility is not long-lasting. In other words, watching VIX only is very difficult to tell if there are larger concerns that are boiling beneath the surface.

If an event is likely to be long-lasting, that potential volatility will more likely be present in VIX3M and VIX6M.

Why Use Ratio and Percentile Rank (PR) to Monitor these VIX Indices?

Why use ratio (relative strength)?

To make the changes that are taking place in these indices really stand out, it is better to monitor the ratio between VIX and these VIX-related indices rather than just the value of these indices themselves.

This idea is not new as there are websites (website 1, website 2) that have already discussed the concept of using the VIX/VIX3M relative strength chart.

Essentially, the idea is similar to commonly used valuation tools such as Price to Earnings ratio.

One company might have a Price of 100 and Earnings of 10 (=PE 10), whereas another might have a Price of 50 and Earnings of 5 (=PE 10).

The ratio will essentially allow us to compare them side by side.

Why use Percentile Rank?

Depending on the market conditions, the value of these VIX-related indices varies substantially.

For example, the first 2 months of the year could have a super calm market condition, then the market tanks, then recover significantly by the end of the year (something similar to 2020 when COVID-19 happened).

In such a condition, it would be difficult to tell if the VIX 25 that we see at the end of the year is relatively high or low based on the recent market condition.

In case you are not familiar with VIX, historically speaking, VIX 25 is pretty high.

So to make the comparisons easier, calculating the Percentile Rank using the previous 252 trading days’ data, will allow us to see if the current value that we see is relatively high or low when compared to a one-year data set (252 trading days).

How VIX Indices Could Provide Market Insights?

Example 1: January 2020, COVID-19 early warning #1

Before the large drop that took place in late February 2020 (red arrow in the graph below), there was a small dip that started on January 27 (yellow arrow).

Percentile Rank for VIX/VIX3M (59%) and VIX/VIX6M (61%) were giving early warning signs on January 24th (first red box in the table below).

Both jumped from around PR 30% the day prior (an almost 100% increase), whereas looking at the value of VIX3M (16.07) and VIX 6M (16.78), the increase was not as significant as the Percentile Rank.

This is why combining the ratio of VIX and VIX-related indices plus the Percentage Rank calculation can really make it easier to spot the warning signs.

Takeaway: The Percentile Rank for VIX/VIX3M (59%) and VIX/VIX6M (61%) were giving early warning signs

Example 2: Early February 2020, COVID-19 early warning #2

After the small dip in January 2020, SPX continued to climb and reached an all-time high at the time.

While SPX continued its climb, the Percentile Rank for VIX/VIX3M and VIX/VIX6M stayed at around PR 50% (the small red box on the right in the table below).

It would be very difficult to just look at VIX3M and VIX6M values to see this warning sign (the small red box on the left in the table below).

When looking at these values, one should ask if the market is continuing to climb, yet, why people are hedging and worrying about something in 3 months and 6 months’ time?

Takeaway: While SPX continued its climb, the Percentile Rank for VIX/VIX3M and VIX/VIX6M stayed at around PR 50%. Something big might be coming.

VIX related indicators early 2020

SPX Feb 2020

Example 3: Thanksgiving November 2021, Omicron News

Let’s use the Omicron news that broke out back in November 2021 as an example of how VIX indices were giving some early warning signs.

  1. The news came out on the night of Thanksgiving day (November 25th) and the market tanked the day after (November 26th).
  2. Looking at the PR of VIX/VIX3M, it was already spiking up to PR 50% a few days earlier since November 22nd. (Red box in the 1st image below)
  3. The market would recover but started to go down again on December 16, ultimately reaching the bottom on December 20th. (2nd image below)
  4. While SPX was going down starting on December 16th, only the PR of VIX9D/VIX increased significantly. The other three, especially VIX/VVIX did not move much even though SPX dropped significantly on December 20th.

As you can see, using these PR values could be very useful in understanding what the market is thinking. The market, after all, is consist of people.

Takeaway: The Percentile Rank of VIX/VIX3M was already spiking up to PR 50% a few days earlier from PR 28%. 

vix value in end of nov 2021

SPX chart in nov 2021

Example 4: January 2022, Inflation Fear

The tone of the stock market changed substantially in early January 2022. While SPX was still hovering close to the all-time high of 4800 level (red arrow in the SPX graph below), the VIX-related indices were showing some early warning signs (the small red box in the table below).

Both VIX/VIX3M and VIX/VIX6M jumped close to PR 50%, indicating people are hedging and worried about something long-term.

Takeaway: Both VIX/VIX3M and VIX/VIX6M jumped close to PR 50% from PR 12% and PR 11% respectively the day before. 

Example 5: January 2022, Short-Lived Counter Rally

A counter rally that happened at the end of January never took the market back to the all-time high (the yellow arrow and the yellow box in the graph below).

Looking at the PR of VIX / VIX-related indices, all remained above PR 80% despite the fact that SPX rallied close to 400 pints in 4 days.

It’s also interesting to see VIX itself dropped from 27.66 to around 22 in 4 days, which might have given a wrong indication of this market rally might be sustainable (the small yellow box in the table below).

Takeaway: The Percentile Rank of VIX / VIX-related indices, all remained above PR 80% despite the fact that SPX rallied close to 400 pints in 4 days.

VIX indicators early 2022

SPX early 2022


I have been trading volatility-related products (VXX, UVXY, etc) for a while and was familiar with some of the VIX-related indices. However, I have never really incorporated them into my day-to-day trades until I started calculating Percentile Rank and realized how powerful this tool could be.

By coupling this tool with simple technical analysis, I could now tell which way the market might move in the short term with higher accuracy, which allows me to set up profitable trades.

I have previously relied on trading strategies that incorporate probability such as selling Iron Condor, Selling Strangle, the Wheel Strategy, etc. These kinds of trade strategies tend to work well only in certain market conditions and not others. While just keep trading in all market conditions the same way and the probability might work itself out, it’s really hard to continue the same trade strategy when it clearly is not working for a prolonged time.

I now understand that the key to becoming successful in trading is not finding the right trading strategy, but rather acquiring the ability to read the market.

My plan is to share more of what I have learned in the coming months so if you are interested, make sure to subscribe to the email newsletter.

Does VIX Always Decline In December?

December typically is when everybody slows down and celebrates holidays. So naturally one would think the market volatility should also decline in December.

I decided to do a quick calculation with VIX historical data (2004 – 2017) to find out if VIX has always gone down in December from November.

While the calculation methods I used were rather simple and may not be scientifically acceptable, there is a higher probability that VIX is lower in December compared to November.

VIX Historical Data 2004 – 2017

Historically, VIX is known to go down in December because the market is not as active so the hedging effect is not as high. To find out how significant the drop is, I did a quick analysis of the historical VIX data shown in the following video.

The reason I am particularly interested in this topic is that I hold open positions for December 2018 expiration options shorting VXX and UVXY, so my hope is for the VIX to go down at least closer to 15 or even lower.

In addition to playing around with the VIX historical data, I have also found this article and this article from to be very helpful.

In which they talk about the SKEW index and VVIX along with other facts that indicate VIX will likely go lower in the near future.

According to the CBOE website, the SKEW index definition is as follows. It is also known as a “Black Swan index”.

The crash of October 1987 sensitized investors to the potential for stock market crashes and forever changed their view of S&P 500® returns. Investors now realize that S&P 500 tail risk – the risk of outlier returns two or more standard deviations below the mean – is significantly greater than under a lognormal distribution. The Cboe SKEW Index (“SKEW”) is an index derived from the price of S&P 500 tail risk. Similar to VIX®, the price of S&P 500 tail risk is calculated from the prices of S&P 500 out-of-the-money options. SKEW typically ranges from 100 to 150. A SKEW value of 100 means that the perceived distribution of S&P 500 log-returns is normal, and the probability of outlier returns is therefore negligible. As SKEW rises above 100, the left tail of the S&P 500 distribution acquires more weight, and the probabilities of outlier returns become more significant. One can estimate these probabilities from the value of SKEW. Since an increase in perceived tail risk increases the relative demand for low strike puts, increases in SKEW also correspond to an overall steepening of the curve of implied volatilities, familiar to option traders as the “skew”.

VVIX is essentially the volatility of VIX, so we can use it to gauge which way VIX is likely to move.

In addition to these two, I have also found VIX9D (9-day volatility index) to be a useful indicator. Based on my observation, a lot of time Backwardation happens when VIX9D is higher than VIX.

When plotted VIX, VVIX, and VIX9D together, they do correlate together and the baseline of VVIX could potentially be used as an early indicator of which ways VIX will likely move. In fact, the articles by mentioned earlier show that the recent spike in VIX (November) was not the same as the one in October because of the VVIX level.

I have also plotted the chart below showing the level of VVIX (blue) in November is substantially lower comparing the two previous VIX peaks in October.

VIX and VVIX in Oct-Nov 2018


Based on the VIX historical data from 2004 – 2017, there is a higher probability that VIX is lower in December compared to November.

Is Selling VXX PUT Options A Good Strategy?

Short-selling PUT is done when one is expecting the underlying equity would go up. I know open positions in anticipation of VXX going up is not a good strategy in the long run. VIX and VIX ETPs are most of the time in contango, so a question I had was “Would option time decay be able to offset the contango effect?”.

Can Theta Value Off Set Contango Effects for VXX Options?

I decided to do some research and ended up on this blog post at which is run by Vance Harwood. I had been following him since I started learning about VIX trading so this was not a surprise.

Below is a question I posted in the comment, and he was kind enough to give me some pointers. Apparently, he developed a solution to predict VIX ETPs’ prices.

Here is a post that he explains the overview of how it’s done – 

Here is a post about the service he is providing – 

Question for Vance Harwood about short sell PUT VXX

Predicting VXX contango effect

Based on Vance’s explanation, the prediction model he came up with is based on the previous 40 trading days data. Using the prediction model, starting on Nov 28th, 2017, VXX at around 32 initially would be at around 28 by Dec 28th, 2017. This is about 12.5% drop in one month.


A similar result can also be obtained by using the contango value found on Vixcentral.

The contango effect was 12.86% on Nov 28, 2017 and VXX was around 32. (NOTE: the contango effect is similar to Vance’s model).

32 x 12.86% = 4.12 (it would drop 4.12 in one month assuming contango effect doesn’t change for the next 30 days).

Subtracting 32 – 4.12 = 27.88. Which means in one month (around Dec 28th, 2017), the VXX price would be around 27.88.

11.28.2017 contango

How to use these data?

Now that we know 27.88 would be the lowest VXX price if the VIX price remains steady in the next 30 days.

In other words, the pure contango effect would bring the price of VXX down to 27.88.

This means if we sell VXX 27 PUT on Nov 28, 2017, in theory, we should be able to profit from time value decay or even get out earlier if there is a spike in VIX.

Assuming VIX would not go down further at expiration or contango would not accelerate more than 12.86%, short selling VXX 27 PUT should be a solid profitable trade.

What do you think? Am I thinking this correctly?