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Conditional Probabilities of the VIX

Market Measures

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Previous SPY conditional probability studies have shown that consecutive up-days are not strongly predictive of future up-days.

However, what about conditional probability around volatility? Are consecutive IV up- or down-days predictive of future behavior?

While consecutive volatility down-days do not have predictive power for future down-days, with more consecutive volatility up-days, future consecutive up-days become less likely.

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