Volland SPX Spot-Vol Beta: 0.18 This gauge measures how much the VIX is reacting relative to the S&P 500’s price move.
Volland SPX Spot-Vol Beta: 0.18 This gauge measures how much the VIX is reacting relative to the S&P 500’s price move. A reading of 0.18 suggests volatility is slightly under-reacting, meaning options markets remain relatively calm compared to the index move.
Overall, the implied volatility response appears modest and contained. Spot-vol beta: how much VIX is over- or under-reacting to spot move. Vol Event study by @wizofops