Market Measures - February 19, 2021 - How Long Can Volatility Stay Bid?
tastytrade digs deeper into volatility streaks by looking at average length of streaks of days where IV is above 20.
Volatility can stay bid for a while, with only 24% of days when VIX is above 20 are expected to drop below 20 within trading 30 days.
Of the 76% of above 20 VIX days that were part of a 30-day or longer streak, the average streak was 120 days, meaning that volatility tends to cluster at highs as well as lows.