Yesterday SPY dropped by roughly 3.8% and the VIX spiked by nearly 32%.

However, when SPY dropped by 3.3% in late February, the VIX spiked by 47%.

And when SPY dropped by 3.3% in early March, the VIX only jumped by 24%.

Since IV tends to be highly inversely correlated with the underlying, we expect movements in the underlying to inversely scale with movements in IV the majority of the time.

However, movements in IV are highly dependent on market context, and today Tom and Tony are going to explore that in more detail.