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The index's implied vol (VIX) vs the cap-weighted average of its heavyweights' single-name IV. When single names price much more vol than the index — a wide spread / low implied correlation ? — the market is paying for lots of idiosyncratic movement; the classic dispersion trade sells index vol and buys the components. Top 100 S&P names by cap · Aug 15, 9:20 PM
| Sector | IV | Names | Cap % |
|---|---|---|---|
| Information Technology | 41% | 29 | 44% |
| Industrials | 32% | 11 | 5% |
| Consumer Discretionary | 31% | 6 | 9% |
| Communication Services | 29% | 7 | 13% |
| Materials | 28% | 2 | 1% |
| Energy | 27% | 3 | 2% |
| Health Care | 26% | 16 | 9% |
| Consumer Staples | 24% | 6 | 5% |
| Real Estate | 23% | 2 | 1% |
| Financials | 21% | 17 | 12% |
| Utilities | 21% | 1 | 0% |
Index IV = VIX (SPX 30-day). Single-name IV = the ~1-month ATM IV solved from the chain (vendor IV treated as junk) for the top 100 S&P names by market cap, cap-weighted — an approximation of the index members (not exact index weights), so the implied correlation is a regime read, not a desk-exact number. Decision support, not advice.