Oil is down more than 8 percent so far this week and it's no coincidence to see the S&P 500 struggle as well. History shows the stock market rarely finishes higher during a week when crude prices decline significantly.
Using Kensho, we found more than 100 five-day periods in the last decade when WTI crude declined by 5 percent or more. Here's the average performance of the S&P 500 and other relevant securities during those five-day periods:
The benchmark only managed to trade into the green on a third of those occasions. And note that even the consumer discretion ETF (XLY), which is supposed to get a lift from lower energy prices for consumers, usually trades into the red when oil prices plunge.
It seems a rapid crude decline raises concerns about global growth and causes many traders to take a "risk-off" posture.
Now let's see what happens during five-day periods when oil falls between just 1 and 5 percent.
The market still declines, on average, but only slightly. And the benchmark manages to trade positively 50 percent of the time.
Disclosure: NBCUniversal, parent of CNBC, is a minority investor in Kensho.