Calculation and mechanics
The VIX3M is computed with a method similar to the VIX from the prices of SPX options, but for a constant horizon of 93 days. The index was formerly listed under the ticker VXV.
The VIX/VIX3M ratio compares two points of the S&P 500 volatility term structure. A value below 1 means that the expected 30-day volatility sits below the 93-day volatility, a common picture in calm markets. If the value rises above 1, short-term volatility is higher than longer-term volatility. That can occur, for example, in phases of strong short-term market uncertainty.
Ratio = VIX / VIX3M
Distinction
The VIX Futures Curve also shows how volatility differs across maturities but is based on the prices of VIX futures. The VIX/VIX3M ratio instead uses two volatility indices computed directly from SPX options.
Both can indicate whether short-term volatility is elevated relative to longer maturities but they are based on different markets and calculation methods.
Sources
Related terms
- VIX (CBOE Volatility Index)
- IV Term Structure (Volatility Term Structure)
- VIX Futures Curve (VIX term structure, VX contracts)
- VVIX (CBOE VIX of VIX, volatility of volatility)
All market and analytical information is provided for educational and analytical purposes only and does not constitute investment advice or a trading recommendation.