SPY Implied vs. Realized Volatility

Chart titled "SPY Implied vs. Realized Volatility" showing Implied Volatility tracking above Realized Volatility with a "Premium" gap arrow.

Executive Summary This report analyzes the historical relationship between implied volatility (IV) and realized volatility (RV) for SPY options using data from January 2023 to February 2026 (~776 trading days). The analysis focuses on at-the-money (ATM) options with ~30 days to expiration (DTE) and compares IV to: Key findings: In summary, the backtest reveals a […]

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