Can $VIX be an indicator for $SPX market drops? A thread. (1/5)

We noticed that the recent market drop ~1.5 weeks ago was preceded by a noticeable $VIX rally. Specifically, the VIX rallied for the 2 days leading up to the $SPX downturn beginning September 2nd. (2/5)

Given our obsession with data, we sought to better understand this relationship between these 2 assets. In the attached screenshots, going back to 2004, we plotted the day-over-day % change in the VIX against that of the SPX with 1 and 2 day lags. (3/5)

The idea here was that if $VIX bidding has been an indicator for an imminent $SPX downturn, one should see a negative-sloping trend in the scatterplots above. This would show us that VIX upticks precede SPX drops. (4/5)

The story doesn& #39;t end here though. Perhaps only in the last 1/2/3 years has this potentially been an indicator. What do ya& #39;ll think? (5/5)