Morning implied volatility predicts rest-of-day realized volatility beyond morning realized volatility

Does the option market's morning implied-volatility level carry information about the rest of the session's realized volatility beyond what the morning's own realized volatility already says? A deliberately textbook first magnitude-space question: if the instrument cannot detect this known effect, nothing downstream matters.

First MAGNITUDE-space claim (Product direction 2026-09-03): does the option market's implied vol level carry information about the rest of the session's realized volatility beyond what the morning's own realized volatility already says? Pooled across 9 symbols with symbol intercepts. iv semantics are MEASURED (annualized percent); this is a volatility forecasting claim and says nothing about direction. A null does not falsify term/skew-structure, vol-change, or cross-sectional vol representations.

Nine liquid names (two index ETFs and seven mega-caps) pooled with symbol intercepts over seven months of sessions. The signal is log mean implied volatility over the first hour (09:30–10:30 ET); the control is log realized volatility over the same window; the outcome is log realized volatility from 10:31 to the close. The permutation null reassigns each session's IV signal within calendar terciles while keeping outcome and control paired, so the test is one of incremental information, not raw correlation. Preregistered positive direction; 999 permutation draws.

A clean, strong yes: log-log beta 0.44, t = 5.52, permutation p = 0.001, positive in all nine names and significant in both sample halves. The finding itself is textbook (implied volatility aggregates volatility information), which is exactly why it ran first: it proves the pipeline can see a known magnitude-space effect, and it measures that effect's size on this sample. It became the first confirmed input of the Fair Volatility program.

Formation windows close roughly a minute before outcome windows open, and measured feed publication latency consumes most of that slack. Live availability of each signal at the formation boundary is therefore tight rather than generous.

Sessions with incomplete implied-volatility inputs drop from the sample rather than appearing with imputed values. Reported session counts reflect those drops; nothing is filled in or interpolated.

A known effect, confirmed on the discovery substrate: the contribution is calibration and effect-size measurement, not novelty. Queued for prospective confirmation on naturally accruing unseen data before anything graduates. This is a volatility forecasting claim only; it says nothing about direction.