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History Check: VIX 21-Day Mean Displacement & Reversion

Perspective: On Friday, the CBOE Volatility Index closed 20% below the 09/03 cycle high close. This matches the largest 5-day decline that occurred in June '07, following a set of extreme, detrended mean displacement credentials we tested for clients on 09/08. Following the initial 5-day decline of 20% in June '07, the CBOE closed the following 5-day period higher by 4.5%. Click the PDF below for full details.

VIX Perspective0914
.pdf
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