Market Measures - April 16, 2021 - The Great IV Deflation

published 4 weeks ago by tastytrade, Inc.

In the last 31 years, there were just five extreme outlier moves where the VIX climbed over 50. The two times that VIX climbed to over 80, its decline was around 90% less severe on a daily basis compared to the outlier moves where VIX only made it to 50 (around -0.2% per day compared to -2.0% per day respectively). Keep in mind that there are only five “extreme” outlier occurrences to draw from...meaning that there is no statistical significance in concluding that higher outlier VIX spikes are associated with slower declines on a daily percentage basis.

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