{
  "annotation_id": "41acfe4a-6763-4a69-81d5-b9a9bb7736f5",
  "date_created": "2026-03-02T18:01:10.807000Z",
  "date_modified": "2026-03-02T18:01:10.807000Z",
  "file_hash": "39cca127bf8c4819868f4cb62fa5f9af3e553905bc04bbf6daac7a6ad6d0d5a4",
  "private": false,
  "record": {
    "abstract": "The Chicago Board Options Exchange (CBOE) Volatility Index, VIX, is\ncalculated based on prices of out-of-the-money put and call options on the S\u0026P\n500 index (SPX). Sometimes called the \"investor fear gauge,\" the VIX is a\nmeasure of the implied volatility of the SPX, and is observed to be correlated\nwith the 30-day realized volatility of the SPX. Changes in the VIX are observed\nto be negatively correlated with changes in the SPX. However, no significant\ncorrelation between changes in the VIX and changes in the 30-day realized\nvolatility of the SPX are observed. We investigate whether this indicates a\nmispricing of options following large VIX moves, and examine the relation to\nexcess returns from variance swaps.",
    "arxiv_id": "physics/0608242",
    "authors": [
      "Stephen D. H. Hsu",
      "Brian M. Murray"
    ],
    "categories": [
      "physics.soc-ph",
      "q-fin.ST"
    ],
    "doi": "10.1016/j.physa.2007.02.041",
    "title": "On the volatility of volatility",
    "url": "https://arxiv.org/abs/physics/0608242"
  },
  "schema_id": "dorsal/arxiv",
  "source": {
    "execution_id": "7f9a8953-1f12-4599-b2aa-6d9df9067a0f",
    "id": "arXiv Dataset IDs",
    "type": "Model",
    "variant": "snapshot-2026-03-01",
    "version": "0.1.0"
  },
  "user_id": 1000002
}