With VIX Above 80, Expect 5% Daily Swings in the S&P 500

Volatility – it is sometimes said – takes the elevator up but takes the stairs down. Like seismic activity, volatility can rise precipitously, but tends to decay more slowly; aftershocks and tremors continue to roil markets after any major repricing occurs.  The practical consequence is that, once the markets become volatile, they tend to remain so for some time. For the short term at least, outsized daily moves will be the new normal.

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