Volatility
VIX (CBOE Volatility Index)
Also called: fear index, fear gauge
The VIX is the CBOE Volatility Index, a measure of the 30-day expected volatility of the S&P 500 derived from SPX option prices. It is quoted in annualized percentage points and is often called the market's fear gauge.
VIX is computed from a strip of out-of-the-money SPX puts and calls across two expirations bracketing 30 days, so it is model-free and reflects the whole implied distribution, including skew. A VIX of 20 implies roughly a 5.8% one-standard-deviation move in the S&P 500 over the next 30 days (20 / √12).
VIX moves inversely to the index most of the time and spikes sharply in selloffs. Its futures curve is usually in contango and inverts in stress. VIX itself is not tradable; VIX futures, options on VIX, and exchange-traded products track it with their own dynamics.
Formula
Expected 30-day 1σ move ≈ VIX / √12 · Expected daily 1σ move ≈ VIX / √252
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Frequently asked questions
What is a high VIX?
Long-run averages sit near 19–20. Readings above 30 accompany significant stress; readings below 13 indicate a calm regime. Compare with the VIX's own recent range rather than fixed thresholds.