Abstract: This paper constructs a price–pressure implied volatility spread (PIVS) factor on the basis of the the different information reflected in the stock and options markets and investigates its predictive power for stock market volatility. We find that PIVS significantly and robustly predicts short-term volatility. Furthermore, the factor provides incremental predictive insights that complement existing volatility predictors, suggesting its potential utility as an additional instrument for volatility forecasting.