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Fallacy of Down Days

Market Measures

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The Research Team conducts a similar study as last week except this time with respect to down days.

We look at the historical number of consecutive down days we observed in the market, average VIX levels, and average performance of selling puts.

We conclude that there is no price reversion that exists with down days, but the heightened levels of IV make the puts more profitable when selling into down moves.

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