Variance-Risk-Premium Strip

The market's implied 30-day SPX volatility (VIXCLS) against the volatility that actually followed, the subsequent 21-trading-day realized SPX vol (not the concurrent window), back to 1990. The gap between them is the variance-risk premium: shaded green where implied over-prices the calm that follows, and red where the crisis inversions (2008, 2020) drive realized above implied. A description of market structure, not a signal and not investment advice.

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