Continuing on trying to fight disinformation about VIX. Everyone knows that VIX index the square root of the expected 30-day variance, and if we drop mathematical precision - 30 day expected volatility of S&P index. Scott Bauer, on CBO's website - " the VIX Index tells us the level of expected volatility of the S&P 500 Index for the next 30 days, with a 68% confidence level", and you can find 100s of similar explanations around the web The number 68% comes from expected frequency of 1 standard deviation of normal distribution, and is of course, grossly incorrect, and I will explain why. While the Black-Scholes formula assumes normality of returns, this is not true of the VIX. Variance is variance but distribution is not assumed to be normal. And if you look at the returns, they are far far from normal. I took 21 trading day returns of SPX index, and normalized them by monthly VIX ( VIX / 100 / sqrt(252/21) ) These normalized returns have kurtosis over