“’Generally, a larger gap is often a bullish signal over medium-term horizons, like three to six months,’ said Garrett DeSimone, head of quantitative research at OptionMetrics. ‘This is because the market tends to price in rising volatility risk, which often doesn’t materialize. The eventual resolution of these events could reduce volatility, leading to positive market returns.’”
OptionMetrics’ Head Quant Garrett DeSimone, Ph.D. is featured in the latest Bloomberg article which discusses the VIX, implied volatility rising on election, earnings, and rate risks.