For the first time since late-March, implied vol (3-month implied, and white on the chart) and realized vol (orange on chart) on the S&P 500 are close to one another. This spread – which clearly blew out – has sharply come back in during June. Historically, implied vol is usually greater than realized vol. Even with realized vol coming back down to earth, it still remains greater than implied vol. Truly an incredible 1H of 2020 heading into the books today.
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