Monday’s market rally was accompanied by a big drop in some implied volatility measures. The VXO, which is the old calculation for the VIX, saw a decline of over 22% on Monday. The study below is one I have shown before. It looks at SPX performance the day following VXO declines of 20% or more. Stats are all updated.

Numbers here seem to suggest a downside edge for Tuesday. Traders may want to keep this in mind today.

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