The VIX measures the S&P 500s’ implied volatility using the price of its near–term options — the markets current estimate of expected future volatility, reflected in option prices. In general, the index tends to rise as the S&P 500 falls, and drop as the market rallies. (For more information about the VIX and its calculation, see "The volatility index".

However, there’s little proof that buying the market as the VIX drops and selling short when it spikes is always profitable. The following study takes a different approach: It analyzes large VIX moves (up and down) that also exceed recent highs or lows and measures how the S&P 500 tracking stock (SPY) responded in the 10 days after these volatility changes. While some type of inverse relationship between the market and the VIX certainly exists, we also found several unexpected short–term market patterns following extreme volatility levels.