We examine the return–volatility relation using three of the CBOE's recent indices. We employ more robust estimation techniques that account for the asymmetric relation between return and volatility. Our findings indicate that contributions of these indices to R2 are surprisingly large (7.45–35.54%) when the observations are divided into deciles groups. The results further indicate that behavioral theories explain the return–volatility relation better than the fundamental theories. We use daily and high frequency data. The results are consistent across all data, though the high frequency data seem to provide more support for the behavioral theories. © 2016 Wiley Periodicals, Inc. Jrl Fut Mark