According to our study, expected market movements tend to be more "violent" than historical market movements, leading to the overprice of the options.

An underlying’s expected range is calculated by using its implied volatility to theoretically contain 68% of the expected results. We compared the expected and actual percentages that the movements are inside the expected range using equity indices, commodities and single stocks.

The result show that historically, markets have not moved as much as expected. And compared to commodities and single stocks, Equity indices saw the greatest overstatement in their implied movements, leading to the greatest overstatement in its price.