On shock-driven lows, while there generally is an immediate retest of the low, the retest we wrote about in VIX indicator suggests likely retest tends to take place 30 days following the CBOE Volatility Index (VIX) signal date. Although the various short volatility vehicles could have made for an accelerated change in volatility, the same “it’s different this time” commentary surrounded the flash crash in 2010.
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