Market Measures

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Expectations of Daily Moves

Market Measures

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Today, we analyzed current market expectations based on previous market movement scales with our study on SPY daily percentage change.

It has been shown that, on average, SPY increases by 0.03% on a daily basis. And the distribution of its daily percentage change approximate a normal distribution, but with rather heavy left tail and a clustering around small positive movements.

And we can see that when market experienced extreme movements -- like daily absolute percentage change more than 2% or VIX more than 25 -- there seems to be larger directional drift, though we cannot conclude any certainty on the price reversion.

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