Turn Volatility to Your Advantage
Welcome to your go-to place for information about the VIX complex, including VIX options and futures. Learn to measure, model and trade market moves with the world’s widest array of volatility products and resources.
- What is volatility?
- What is the VIX Index?
- How is the VIX Index calculated?
- How is the VIX Index used?
- What is volatility?
Volatility measures the frequency and magnitude of price movements, both up and down, that a financial instrument experiences over a certain period of time. The more dramatic the price swings in that instrument, the higher the level of volatility. Volatility can be measured using actual historical price changes (realized volatility) or it can be a measure of expected future volatility that is implied by option prices. The VIX Index is a measure of expected future volatility.
- What is the VIX Index?
Cboe Global Markets revolutionized investing with the creation of the Cboe Volatility Index® (VIX® Index), the first benchmark index to measure the market’s expectation of future volatility. The VIX Index is based on options of the S&P 500® Index, considered the leading indicator of the broad U.S. stock market. The VIX Index is recognized as the world’s premier gauge of U.S. equity market volatility.
Learn More- How is the VIX Index calculated?
The VIX Index estimates expected volatility by aggregating the weighted prices of S&P 500 Index (SPX<sup>℠</sup>) puts and calls over a wide range of strike prices. Specifically, the prices used to calculate VIX Index values are midpoints of real-time SPX option bid/ask price quotations.
Learn More- How is the VIX Index used?
The VIX Index is used as a barometer for market uncertainty, providing market participants and observers with a measure of constant, 30-day expected volatility of the broad U.S. stock market. The VIX Index is not directly tradable, but the VIX methodology provides a script for replicating volatility exposure with a portfolio of SPX options, a key innovation that led to the creation of tradable VIX futures and options.
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Cboe is the home of volatility trading, and the Cboe Volatility Index® (VIX® Index) is the centerpiece of Cboe's volatility franchise, which includes VIX futures and VIX options.
- VIX Index
- VIX Options
- VIX Futures
- Mini VIX Futures
- Overview
The VIX Index is a calculation designed to produce a measure of constant, 30-day expected volatility of the U.S. stock market, derived from real-time, mid-quote prices of S&P 500® Index (SPX℠) call and put options. On a global basis, it is one of the most recognized measures of volatility -- widely reported by financial media and closely followed by a variety of market participants as a daily market indicator.
VIX Options Analytics
Get analysis on VIX Options and the rest of the U.S.-listed options market with Cboe LiveVol analytics platforms. LiveVol’s web-based platforms provide everything you need to quickly analyze trading activity and identify opportunities.
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VIX® Futures & Options Strategies
VIX futures and options have unique characteristics and behave differently than other financial-based commodity or equity products. Understanding these traits and their implications is important. VIX futures and options may provide market participants with flexibility to hedge a portfolio, employ strategies in an effort to generate returns from relative pricing differences, or express a bullish, bearish or neutral outlook for broad market implied volatility.
Portfolio Hedging
One of the biggest risks to an equity portfolio is a broad market decline. The VIX Index has had a historically strong inverse relationship with the S&P 500® Index. Consequently, a long exposure to volatility may offset an adverse impact of falling stock prices. Market participants should consider the time frame and characteristics associated with VIX futures and options to determine the utility of such a hedge.
Long/Short Volatility
VIX futures provide a pure play on the level of expected volatility. Expressing a long or short sentiment may involve buying or selling VIX futures. Alternatively, VIX options may provide similar means to position a portfolio for potential increases or decreases in anticipated volatility.
Risk Premium Yield
Over long periods, index options have tended to price in slightly more uncertainty than the market ultimately realizes. Specifically, the expected volatility implied by SPX option prices tends to trade at a premium relative to subsequent realized volatility in the S&P 500 Index. Market participants have used VIX futures and options to capitalize on this general difference between expected (implied) and realized (actual) volatility, and other types of volatility arbitrage strategies.
Term Structure Trading
One of the unique properties of volatility – and the VIX Index – is that its level is expected to trend toward a long-term average over time, a property commonly known as "mean-reversion." The mean reverting nature of volatility is a key driver of the shape of the VIX futures term structure and the way it can move in response to changes in perceived risk. CFE lists nine standard (monthly) VIX futures contracts, and six weekly expirations in VIX futures. As such, there is a wide variety of potential calendar spreading opportunities depending on expectations for implied volatility.
Term Structure Data and ChartsThe information above is provided for general education and information purposes only. No statement within these materials should be construed as a recommendation to buy or sell a security or future or to provide investment advice. Supporting documentation for any claims, comparisons, statistics or other technical data in these materials is available by contacting Cboe at cboe.com/contact.
VIX® Index Research
S&P Dow Jones Indices: A Practitioner's Guide to Reading VIX
An easy-to-read guide for understanding the VIX complex. This document provides investors with simple guidelines that translate VIX Index levels into potentially more meaningful predictions or measures of market sentiment.
BlackRock: VIX Your Portfolio
A research paper outlining the opportunities created by using market uncertainty. This paper explains how the strategy of selling volatility has generated higher returns with smaller losses, compared with traditional equity portfolios.
The inclusion of research not conducted or explicitly endorsed by Cboe should not be construed as an endorsement or indication of the value of any research.