So VIX provides implied volatility for a 30-day time horizon. I would imagine that when VIX "spikes", the implied volatility of longer dated options would exponentially decay, due to a mean reverting nature of volatility.

Is this true? Would some sort of exponential decay from a certain threshold provide a crude estimate of what the implied volatility would look like for T>30days dated options?


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    $\begingroup$ The VIX index is the square root of the variance swap strike. That said, the vix and ATM 1m option vol move more or less the same way as shown here. The real question is why not just look at actual IVOL from options instead of trying to get a crude estimate from VIX? SPX options are super liquid after all. $\endgroup$
    – AKdemy
    Sep 21, 2022 at 5:54
  • $\begingroup$ Indeed it is interesting to watch the slow evolution of the term structure of vol, it does not behave as mechanically as you suggest. What you say is true for isolated events (ex. a bank failure which is believed to be a unique case), if the market begins to think a recession is coming the long term vol will not decay as quickly as usual. $\endgroup$
    – nbbo2
    May 19, 2023 at 8:11

1 Answer 1


agree, you won't have a parallel shift of the implied vol surface. Movement in the long dated implied vol levels will be certainly be less but you also need to look at the traded market levels of longer dated contracts on their own merit


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