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Update on: Disorder In the Volatility Markets (Preview)

By Lawrence G. McMillan

Both in May 2025 and October 2025, we published articles with the above title.  I won’t include them here, because they were too long, but one can find them in the archives of The Option Strategist Newsletter on the website.  I will, however, summarize them.  It turns out that when realized volatility and implied volatility differ by a substantial amount, it can be a market-predicting event.  Here’s the quick summary, using the 20-day historical volatility of $SPX (HV20) as realized volatility and $VIX as implied volatility:

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