Learn · options market structure
How often does SPY stay within the VIX expected move?
More often than the VIX implies. From January 2006 to November 2026 (5,240 trading days), SPY closed within the one-day, one-standard-deviation move implied by the previous close's VIX on 80.6% of days, against the 68.3% a fair estimate would give, and within two standard deviations on 98.1%. The typical day moved about half the implied amount. The gap narrows when the VIX is high: above 30, 69% of days stayed inside.
| Prior close VIX | Days | Close within 1 SD | Close within 2 SD | Whole day's range within 1 SD |
|---|---|---|---|---|
| Below 15 | 1,772 | 85.7% | 98.9% | 73.7% |
| 15 to 20 | 1,696 | 80.4% | 98.1% | 66.8% |
| 20 to 30 | 1,323 | 78.1% | 97.9% | 61.4% |
| 30 and above | 449 | 69.0% | 95.3% | 51.9% |
| All days | 5,240 | 80.6% | 98.1% | 66.5% |
SPY daily prices and the CBOE VIX close, 2006-01-04 to 2026-11-02. A normal distribution would put 68.3% inside 1 SD and 95.4% inside 2 SD.
How it was measured
For each trading day, the implied one-day move is the previous close × VIX ÷ 100 ÷ √252: the VIX is an annualised 30-day implied volatility for the S&P 500, scaled to one trading day. A day counts as inside when SPY's close is within that distance of the previous close. 'Whole day's range' requires the day's high and low to stay inside too, which is stricter.
Is it stable over time?
Yes. 2006 to 2012: 79.5% of days closed inside 1 SD; 2013 to 2019: 81.4%; 2020 to 2026: 80.8%; the last 252 trading days: 85.3%. Week by week (1,047 weeks, using the VIX scaled to five days) the figure is 82.4%.
Why the VIX overstates the move
Options sellers demand a premium for taking on crash risk, so implied volatility usually sits above the volatility that follows (the volatility risk premium). The flip side is the tail: when SPY does break out, the moves can be large, which is why the 30+ VIX bucket stays inside less often.
How traders use this
As a sense of scale: a day that closes beyond the VIX-implied move is roughly a one-in-five event in normal conditions and a one-in-three event in stressed ones. It says nothing about direction and is not a trading signal. The free expected move calculator at /tools/expected-move-calculator does the arithmetic for any price, IV and horizon.
Caveats
The VIX measures the S&P 500 index over 30 days, not SPY over one day, so this is an approximation. Results use closing prices; intraday swings are larger (see the last column). Past behaviour of the market is not a forecast.
Related
- What is the expected move and how is it calculated?
- What is IV rank?
- What does negative gamma mean for the stock market?
Education and market data, not investment advice. GammaPulse does not publish a track record or performance claims.