{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,13]],"date-time":"2026-10-13T12:00:57Z","timestamp":1791892857694,"version":"4.3.4"},"posted":{"date-parts":[[2026]]},"group-title":"SSRN","reference-count":0,"publisher":"Elsevier BV","license":[{"start":{"date-parts":[[2026,1,1]],"date-time":"2026-01-01T00:00:00Z","timestamp":1767225600000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/creativecommons.org\/licenses\/by-nc-nd\/4.0\/"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"abstract":"<jats:p>We test whether the Bollinger Band squeeze, a chart signal widely believed to precede large price moves, forecasts the volatility of S&amp;amp;P 500 stocks. In a sequentially registered event study of 36 squeeze definitions on the daily prices of point-in-time index members with prices on file (about nine member-years in ten) from 2006 to 2025, we compare realized volatility after each signal with three benchmarks added after registration: all member-days, days with the same recent volatility, and days with the same direction of the TTM momentum line. We find strong volatility clustering and no evidence that squeezes precede bursts of volatility. The week after an upward signal is 7.5% calmer than the median week and the week after a downward signal 9.5% more volatile, but the asymmetry is almost entirely the leverage effect: any day with a falling price is followed by a similar rise in volatility. Because the band and channel widths both scale with volatility, the squeeze identifies sideways price paths rather than calm ones. A breakout strategy based on the squeeze lost money and underperformed both a simple breakout rule and SPY.<\/jats:p>","DOI":"10.2139\/ssrn.7600800","type":"posted-content","created":{"date-parts":[[2026,10,13]],"date-time":"2026-10-13T11:17:57Z","timestamp":1791890277000},"source":"Crossref","is-referenced-by-count":0,"title":["The Calm Before More Calm? Daily Bollinger and TTM Squeezes, Volatility Clustering and the Leverage Effect in S&amp;amp;P 500 Stocks, 2006 to 2025"],"prefix":"10.2139","author":[{"ORCID":"https:\/\/orcid.org\/0009-0005-4361-1180","authenticated-orcid":true,"given":"Serhat","family":"Girgin","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"78","container-title":[],"original-title":[],"deposited":{"date-parts":[[2026,10,13]],"date-time":"2026-10-13T11:17:57Z","timestamp":1791890277000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.ssrn.com\/abstract=7600800"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2026]]},"references-count":0,"URL":"https:\/\/doi.org\/10.2139\/ssrn.7600800","relation":{},"subject":[],"published":{"date-parts":[[2026]]},"subtype":"preprint"}}