Market Measures - July 15, 2021 - Daily Independence of Volatility

published 1 week ago by tastytrade, Inc.

Even after directional streaks in implied volatility, claiming that a certain streak impacts the probability a certain directional move tomorrow is not statistically supported. Historically, upside streaks in IV reduce the probability of seeing another up day tomorrow, but due to the relatively small number of observable five-day up streaks, there is no statistical edge to knowing past price action.

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