SPY Implied vs. Realized Volatility
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 […]
