VIX

What is VIX?

It is a "fear gauge" that tells us how many people are hedging their portfolio.

Definition: A real-time index that represents the market's expectations for the relative strength of near-term price changes of the S&P 500 index (SPX).

Key Features

1. Derived from prices of SPX index options with near-term expiration dates, generating a 30-day forward projection of volatility

2. Calculated using Cboe-traded standard SPX options (that expire on the third Friday of each month) and using weekly SPX options (that expire on all other Fridays). Only SPX options with expiry between 23 - 37 days are considered.

3. VIX index moves up when the market is falling. Conversely when the market advances, index values, fear and volatility declines.

4. VIX is calm, it is usually under 20 and elevated can be matched to dips in S&P (See second image)

5. If VIX > 18, avoid doing 0DTE Ironfly

S&P 500 Index (Orange Graph)

VIX values (Blue Graph)