Is the ratio of implied volatility of implied volatility (CBOE VVIX Index), interpretable as a measure of changes in investor fear level, to the CBOE VIX Index itself a useful indicator of future stock market returns? To investigate, we relate monthly VVIX/VIX and monthly change in VVIX/VIX to monthly SPDR S&P 500 ETF Trust (SPY) total returns. Using end-of-month levels of both VVIX and VIX and dividend-adjusted monthly SPY closes during September 2006 (limited by VVIX) through March 2025, we find that:
Subscribe to Keep Reading
Get the research edge serious investors rely on.
- 1,200+ research articles
- Monthly strategy signals
- 20+ years of backtested analysis
$17.99
/month
Cancel anytime
