Breaking Down the Santa Claus Rally Using the VIX, MOVE, GVZ and EVZ Indices
Traders often expect market volatility to cool around Christmas in a “Santa Claus Rally” before rising after. But, looking at the VIX, MOVE, GVZ and EVZ, there appears to be more to it than just that.
Daniel Dubrovsky Federal Reserve Analyzing Volatility Around New Year Double Dip Market Volatility Around
Source: dailyfx.com