Implied Volatility Indices – A Review

70 Pages Posted: 18 Jun 2009 Last revised: 13 Jan 2020

See all articles by Costas Siriopoulos

Costas Siriopoulos

Zayed University, College of Business; University of Patras - Business Administration

Athanasios Fassas

University of Thessaly; Hellenic Open University

Date Written: June 5, 2019


This study tests and documents the information content of all publicly available implied volatility indices regarding both the realized volatility and the returns of the underlying asset. These topics present a path traveled by earlier work, but there are gains in studying together all 50 volatility-based indices that are now available, in order to examine if different asset classes and financial instruments could possess different return-volatility relations and forecasting ability.
Our findings suggest that implied volatility includes information about future volatility beyond that contained in past volatility; this finding is consistent across all assets under review. Furthermore, we find a significant contemporaneous relationship between implied volatility changes and underlying returns, but at the same time, we show that implied volatilities in commodities, bonds, currencies and volatility react differently to underlying price changes compared to equities. Hence, our findings have important implications for asset allocation, risk management and asset pricing.

Keywords: implied volatility, implied volatility indices, transmission of uncertainty, VIX

JEL Classification: G13, G14, G15, C53

Suggested Citation

Siriopoulos, Costas and Fassas, Athanasios, Implied Volatility Indices – A Review (June 5, 2019). Available at SSRN: or

Costas Siriopoulos

Zayed University, College of Business ( email )

P.O. Box 144534
Abu Dhabi
United Arab Emirates

University of Patras - Business Administration ( email )


Athanasios Fassas (Contact Author)

University of Thessaly ( email )

Argonafton & Filellinon
38221 Volos, 41110
United States

Hellenic Open University ( email )

Parodos Aristotelous 18
Patra, 26335

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