01 The question
Options markets encode uncertainty about the future in implied volatility, but they encode it indirectly — IV bundles together the probability of a move, the size of the move, and the price of insurance against it.
Prediction markets state a probability outright. If a Kalshi contract says 62% chance unemployment prints above some threshold, that is a clean number with no volatility risk premium tangled into it.
So: does the clean signal move first? I pulled Kalshi macro market prices alongside VIX, aligned them daily, and ran Granger causality tests at a range of lags to see which series helps predict the other.
02 The result
kalshi_unemployment_panel.csv against yahoo_iv_proxy.csv, median threshold (U-3 > 4.3%), both series first-differenced, Granger tested at lags 1–5. Reproduced 2026-09-07: 222 observations, 2025-01-21 to 2026-01-09, lag 2 p = 0.0238. Not a schematic.03 How the pipeline runs
04 What I found
- Unemployment markets lead VIX by two days (Granger causality, p = 0.024, over 222 days of overlapping data from January 2025 to January 2026). Correlation is −0.152 at a 5-day lag.
- The sign makes economic sense. Higher probability of stable employment goes with lower VIX — a labour market that is holding up means less market uncertainty. A result that only worked with the sign flipped would be a red flag.
- CPI markets show nothing, on 90 days of data. I report this because a study that only shows the market where the result worked is not a study.
- I do not have a story I believe for why the two differ. It might be the sample length, it might be that unemployment prints are more predictable from alternative data, it might be noise. Saying so is more useful than inventing a mechanism.
p=0.024
Granger, 2-day lag
222
days of overlap
−0.152
corr. at 5-day lag
0
significant CPI lags
Honest limits. One year, two market families, and a p-value that would not survive aggressive multiple-comparison correction across all the lags I tested. Granger causality measures predictive precedence, not causation — and a two-day statistical lead is not the same thing as a tradeable edge once you account for costs and liquidity on Kalshi. Treat this as a promising direction, not a finding.