Is the VIX a Value Play?

The CBOE Volatility Index, or VIX, is a measure of the market’s expectation of volatility (one standard deviation of returns) in the S&P 500 over the next thirty days (as evidenced by the implied volatility of options the S&P 500). It turns out to be a good measure of future volatility, as the following chart indicates (h/t EconomPicData):

VIX vs. Forward SPY Return, Source: EconompicData . . .

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