$SPX up almost 1%; $VIX up 1%... just another day at the office.

There's a lot of session left, but if we finish here, it would be unusual. The $VIX rises at least 1% the same day $SPX rises at least 0.8%, on average, two or three times a year since 1990.

There are many confounding factors, however, a cursory examination suggests that the end of forward guidance may not bring with it a permanently higher level of volatility. Volatility may increase for many reasons, but I suspect not for lack of Fed guidance.

$VVIX may be an interesting quantity to examine, however, since options on $VIX were only listed in 2006, $VVIX can only be calculated back to that point, and therefore has very little pre-forward guidance data associated with it.

This is just a conjecture. If someone has historical put/call ratio data for $VIX options, please let me know if there's anything to it or if I can add it to the list of plausible hypotheses that don't hold when tested.

If this is indeed happening, a second-order effect may be the error introduced by approximating an integral by a sum over a discrete grid of strikes. If fewer puts are traded, strikes below a certain level become ineligible and approximation worsens and is biased downward.