The article explores how returns and volatilities in financial markets interact. It distinguishes between realized volatility (actual market movements) and implied volatility (expected future volatility). The study shows that return shocks can affect volatility, and vice versa, through different mechanisms. When looking at S&P 500 Index futures, it was found that implied volatility plays a key role in predicting future volatility. Bad news has a stronger impact on volatility than good news, and an anticipated increase in volatility has a greater effect on returns. Overall, the research highlights the importance of understanding the relationship between returns, realized volatility, and implied volatility in financial markets.