How A High VIX Makes A Sudden Drop More Likely – ValueWalk Premium
FQ msci high low regime 0115 VIX

How A High VIX Makes A Sudden Drop More Likely

With the VIX picking up, you might be wondering if it’s time to reduce your exposure to risky assets a bit until the market calms down. According to new research from First Quadrant Analytics that might not be a bad idea because the chance of a sharp, two or three sigma, drop is a lot higher during high volatility regimes.

“While ‘tail risk’ has always existed in the markets, it is mostly since . . .

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