Since 1990, the average Gap between Implied and Realized volatility has been 4.2%

ImpliedVsRealizedStats

Since 1990, the average Gap between Implied and Realized volatility has been 4.2%

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The number of daily returns larger than +/- 8% shows the Fat Tailed nature of S&P 500 Returns
Until Recently, Implied Volatility has been significantly higher than Realized Volatility

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