How often does the VIX exceed the volatility that follows, and when does it not? the S&P 500, 1990-2026

Abstract

The VIX index is the volatility of the S&P 500 that option prices imply for the next 30 days. This paper compares the VIX on each trading day from 2 January 1990 to 8 October 2026 (9,257 days) with the volatility the index actually showed over the next 21 trading days. The VIX was higher on 85.9% of days (95% interval 82.9-88.8%), by 4.10 points on average (3.48-4.73), also in samples without overlapping windows. Part of this gap would exist even without a risk premium, because the VIX is the square root of an expected variance; in variance terms the gap is also positive (113.6 percent squared, 67.3-159.8). The gap turned negative on 1,307 days, in runs that cluster around sharp market falls, as in February 2020 (VIX 15.6 on 20 February, realized 87.5 over the next month). Most large runs began at ordinary VIX levels, but in October-November 2008 the VIX was too low even at 40-70. The VIX on day t gave almost no warning of a negative window. There is no evidence of a calendar-month effect, although the test could detect only large differences. The median gap grows with the level of the VIX; the share of days on which the VIX was higher hardly changes.

Keywords: VIX, implied volatility, realized volatility, variance risk premium, S&P 500, financial crises

Список литературы

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Как цитировать

Rakhimova Khadiya How often does the VIX exceed the volatility that follows, and when does it not? the S&P 500, 1990-2026 // Central Asian Scientific Journal. – 2026. – No. 4(32), Vol. 2. – Pp. 72–81.