Yesterday tied for the 5th longest streak of negative 1-day SPX returns. But where is the vol? For all days with >=4 consecutive negative returns (17), this is the 3rd lowest realized volatility. Top periods: 1) Feb '20 (6 days) 2) Oct & Sep '22, Jul '19 (5 days)
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@spotgamma I guess we can't measure the 70s since the VIX was not invented