Looking back to 1992, 2% of days have seen a VIX close at or below 11. In that same time frame, 4% of days have seen a low of 11.
On Wednesday of this week the VIX closed at 10.81, an extremely depressed level in market volatility. Can we expect higher volatility moving forward?The Study:
tastytrade analyzed VIX from 1992 - present, looking only for occurrences where the VIX closed below 11. They studied movement in the VIX over the following week, 2 weeks, month, and 2 months.The Results
No matter which way the team sliced up the data, the results supported a rising VIX after such depressed levels.
However, it has historically taken longer periods of time to get VIX above 15 or 20.
For more VIX studies, click below: