Key points
- Markets exhibit momentum in volatility.
- VIX spikes often come in clusters.
- Important for options pricing and risk management.
Example
Once the VIX rises above 25, daily S&P 500 moves of 1.5% or more tend to stay common for weeks.
In history
In March and April 2020 the VIX closed above 40 for about four weeks in a row. In 2017, by contrast, it closed below 12 on more than 100 days.
Related terms