Calculation and mechanics
The VIX is not computed from a single option or a single strike. CBOE uses the prices of a wide selection of SPX puts and calls across strikes and expiry dates and derives from them a constant expected volatility over 30 days.
A VIX of 20 corresponds to an annualised expected volatility of 20%. Converted to 30 days that is roughly 5.7%. The value gives no direction: a high VIX means the option market prices in larger swings, not whether the S&P 500 will rise or fall. As a simplified rule of thumb, VIX / sqrt(12) can be used as well.
The median since 1990 was around 17 to 18 points according to CBOE. Values above 40 occurred for example in the 2008 financial crisis, in March 2020 at the start of the Covid pandemic, in August 2024 during the unwinding of the yen carry trade (there only intraday) and in April 2025 after the US tariff announcements.
30-day volatility ~ VIX x sqrt(30 / 365)
Distinction
The VIX measures the expected 30-day volatility of the S&P 500. The IV in an ETF screener describes the implied volatility of the respective ETF instead. The VIX and the IV of SPY therefore often move similarly but are not the same figure.
For the Nasdaq-100 and the Russell 2000, VXN and RVX are comparable volatility indices. The VVIX measures the expected volatility of the VIX, while VIX3M and the VIX/VIX3M ratio compare short-term with longer-term expected volatility.
Sources
Related terms
- Implied Volatility (IV)
- VIX3M and VIX/VIX3M Ratio (CBOE 3-Month Volatility Index, formerly VXV)
- VVIX (CBOE VIX of VIX, volatility of volatility)
- VXN and RVX (CBOE Nasdaq-100 Volatility Index, CBOE Russell 2000 Volatility Index)
- VIX Futures Curve (VIX term structure, VX contracts)
- SKEW Index (CBOE SKEW, tail risk index)
All market and analytical information is provided for educational and analytical purposes only and does not constitute investment advice or a trading recommendation.