Spx Low Vol Streak, Update

Spx had a rather long streak of low volatility. There is no predictive value or signal here, i just wanted to eyeball & visualize how long the low vol streak lasted and how it compared to other low vol streaks.

Here are all the Spx low vol streaks (close to close change > +/-1%) that lasted more than 42 days, since the 50’sUnknown-13

Notebook with code here
Thanks for your time


One thought on “Spx Low Vol Streak, Update

  1. Quantocracy's Daily Wrap for 02/18/2018 | Quantocracy

Leave a Reply

Fill in your details below or click an icon to log in:

WordPress.com Logo

You are commenting using your WordPress.com account. Log Out /  Change )

Google photo

You are commenting using your Google account. Log Out /  Change )

Twitter picture

You are commenting using your Twitter account. Log Out /  Change )

Facebook photo

You are commenting using your Facebook account. Log Out /  Change )

Connecting to %s