Single-Stock Volatility Premium: What the Options Market Charges for Names Over the Index
The VIXEQ − VIX spread: the average implied volatility of the S&P 500's individual members minus the index's own implied volatility, daily since 2014 — paired with Cboe's implied correlation index (COR3M) back to 2006. A wide premium means the market is pricing big single-name swings that cancel at the index level: correlation near zero, calm manufactured by dispersion.
Today's reading
As of 2026-07-10, the premium is 33.9 points — VIXEQ 49.0 vs VIX 15.0 — the 100th percentile of its history and 4.8 standard deviations above the mean, within a point of the all-time record (34.1, 2026-07-09). Implied correlation reads 7.2 vs a long-run mean of 41 — the lowest print in the entire series since 2006. The options market has rarely priced US stocks to move this independently of each other.
Sources, methodology & freshnessLast updated 2026-07-10 · Open ↓Close ↑
Diversification suppresses index vol below average single-stock vol by construction — the premium is never zero. Its SIZE is the price of correlation, and it is currently at the top of its recorded range.
The premium — VIXEQ minus VIX since 2014
Single-name implied volatility over index implied volatility, daily. The mean is about 13 points; readings near 34 mean the options market expects individual stocks to swing wildly while the index barely moves — a stock-picker's tape priced to an extreme.
Implied correlation — the same story since 2006
Cboe's COR3M quotes the phenomenon directly: the average stock-to-stock correlation implied by option prices over the next three months. It is the longer lens — covering the 2007-09 cycle — and the one that makes today unambiguous: the lower the reading, the more completely diversification is doing the index's hedging. Correlation snaps toward 1 in every crisis, which is why the lows print in melt-ups, not panics.
What happened next — SPY after each premium band
The honest test, run before shipping: average SPY forward returns from every day since 2014, grouped by the premium's percentile that day. The answer is that there is no reliable directional edge — extreme dispersion preceded slightly soft 1-month returns and roughly baseline 6-month returns. This is a regime and fragility gauge, not a timing signal, and we'd rather show you that than imply otherwise.
| Premium that day | Days | Fwd 1m | Fwd 3m | Fwd 6m |
|---|---|---|---|---|
| Extreme (90th+)Today | 303 | +0.43% | +2.62% | +7.07% |
| Elevated (75–90th) | 454 | +1.55% | +3.24% | +7.09% |
| Middle (25–75th) | 1516 | +0.92% | +3.20% | +5.67% |
| Bottom quartile (<25th) | 759 | +1.18% | +2.79% | +5.82% |
Overlapping windows — adjacent days share most of their forward path. Extreme-band days cluster in 2024–26 and many lack resolved long horizons; treat the extreme row as provisional until this regime finishes.
What a record premium does — and does not — mean
How Single-Stock Volatility Premium Works
- 1Average the single-stock volsCboe's VIXEQ index is the weighted average implied volatility of the S&P 500's individual member stocks — the same 30-day options math as the VIX, applied name by name instead of to index options.
- 2Subtract the index volThe premium is VIXEQ minus VIX. Index volatility is always lower than average single-stock volatility because stocks partially cancel each other out — diversification. The size of the gap is the price of that diversification.
- 3Read it as correlationA wide premium means the market expects stocks to move independently — big single-name swings that net out at the index level. That is mathematically the same statement as low implied correlation, which Cboe quotes directly as COR3M (history to 2006, covering the 2007-09 cycle).
- 4Put it in contextThe page shows both series against their full history — percentile, z-score, records — plus what SPY actually did after each premium band, so a "record dispersion" headline can be checked against base rates.