Myth Test #11
Does price respect implied volatility levels 90% of the time?
A post showing “$26,000 in 4 days” from a quant strategy says price respects implied volatility levels about 90% of the time. We drew the expected move every morning for 9 years of NQ futures.
Short answer
No. From April 2017 to September 2026, NQ stayed inside its daily expected move on 59% of days, not 90%. When price touched a level, it closed back inside 42% of the time; random lines at random distances did the same (43%). Fading every touch lost −$145K on 671 trades with one contract, and 9 of 10 years lost money. The levels tell you how far price might move, not where it will stop.
Results
| Measure | Result |
|---|---|
| Days NQ stayed inside the ±1× expected move | 59% (claim: about 90%) |
| After a touch, closed back inside the level | 42% |
| Same check on random lines at random distances | 43% |
| Fade every first touch, 1 NQ contract (671 trades) | −$145K |
| Losing years | 9 of 10 |
What it means
The expected move is a useful ruler: it tells you how big a normal day is. It isn’t a wall. Price reacted to these levels no more than it reacted to random lines, and treating them as reversal points lost money almost every year. A screenshot of a big win shows one result, not the losing days around it.
Method and data
NQ futures 1-minute data, regular trading hours, April 2017 to September 9, 2026. Expected move = prior regular-session close × prior-day VXN ÷ 100 ÷ √252, drawn above and below the prior close. Fade test: first touch of either level after 9:35 AM ET, stop at 1.5× the expected move, target the prior close, out by 3:55 PM ET. One contract ($20 per point), $20 per trade for costs. Our fixed-rule version of a claim shared publicly; the creator’s own method may differ. The original post was shown blurred for commentary and its profit claim was not verified. Hypothetical results.
Watch the 60-second version
Questions
Does price respect implied volatility levels?
Not in our test. NQ futures stayed inside the daily expected move from VXN on 59% of days from 2017 to 2026, and after touching a level closed back inside 42% of the time, the same as random lines (43%).
Can you fade the expected move on NQ?
Fading every first touch of the 1× expected move lost −$145K on 671 trades with one contract, and 9 of 10 years lost money.
Keep reading
Cite this: Trading Decisions Lab, “Myth Test #11: Do implied volatility levels hold 90% of the time?” (Oct 30, 2026). https://www.tradingdecisionslab.com/research/implied-volatility-levels-expected-move
Simulated backtest. Hypothetical or simulated performance results have certain limitations and do not represent actual trading; see the full disclaimer. Past results don’t guarantee future results. Educational only, not financial advice. Futures are leveraged and you can lose more than your deposit.