Market Measures - August 24, 2021 - Volatility During All Time Highs

published 1 month ago by tastytrade, Inc.

Since 1990, the market went to all time highs around 8% of the time. However, this 8% is not independent on a daily basis. If the market has corrected 10%, the chance that tomorrow will be an all time high is obviously near-zero. Since volatility values shrink when markets rise, we saw a typical VIX value to be nearly 25% lower when the market makes an all time high compared to a random day.

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