Options Jive

Monday – Friday | 8:40 – 9:00a CT

Market Reaction After Big Moves

Options Jive

Options involve risk and are not suitable for all investors. Please read Characteristics and Risks of Standardized Options before deciding to invest in options.

Historically, how has the market performed after large moves? Does the market have a "memory" after big drop that is outside the 1 Standard Deviation range?

The tastytrade Research Team's study was conducted in the SPY (S&P 500 ETF) from 2005 to the present.

The premise of the study was pretty straightforward; when the market goes outside of its 45-day, 1 Standard Deviation (SD) implied move, does it stay outside the implied move or does it reverts back?

On top of that, the team examined which side the market typically tests when it does go outside its implied move.

Watch this segment of Market Measures with Tom Sosnoff and Tony Battista for the key takeaways.