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VIX Below 11: Looking Ahead

Market Measures

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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:

Which VIX Should I Sell?

Volatility Rallies: Selling VIX Call Spreads

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