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Market Measures

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Conditional Probabilities of the VIX

Market Measures

Options involve risk and are not suitable for all investors. Please read Characteristics and Risks of Standardized Options before deciding to invest in options.

Previous SPY conditional probability studies have shown that consecutive up-days are not strongly predictive of future up-days.

However, what about conditional probability around volatility? Are consecutive IV up- or down-days predictive of future behavior?

While consecutive volatility down-days do not have predictive power for future down-days, with more consecutive volatility up-days, future consecutive up-days become less likely.

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