VIX (Cboe Volatility Index)
The VIX is Cboe's index of the 30-day expected volatility of the S&P 500, calculated from the prices of out-of-the-money SPX and SPXW options and quoted in annualised percentage points. It is a model-free, variance-based measure, not the implied volatility of one option, and it cannot be bought directly.
Senzoukria · Glossary · Updated September 2026
At a glance
- Measures
- 30-day expected volatility of the S&P 500
- Inputs
- Mid quotes of out-of-the-money SPX (AM) and SPXW (PM, end of week) options, US Treasury rates
- Quote
- VIX = σ × 100, annualised
How it is calculated
According to Cboe's methodology, the VIX measures the 30-day expected volatility of the S&P 500 and takes as input SPX and SPXW option prices and Treasury yield curve rates. Two expirations bracketing 30 days are selected from AM-settled SPX options and PM-settled end-of-week SPXW options. For each, the variance is computed from a strip of out-of-the-money puts and calls around the forward level, each weighted by the inverse of its strike squared, using bid-ask midpoints of options with a non-zero bid; the strip stops after two consecutive strikes with zero bids. The two variances are interpolated to a constant 30-day maturity, and the index is the square root times 100. Cboe states that its quotes come from the Cboe Options Exchange only.
From VIX to an expected move
Because the VIX is annualised, it must be scaled to the horizon of interest. With the VIX at 20, the implied one-standard-deviation move over 30 calendar days is about 20% × √(30/365) = 5.7%, and over one day about 20% × √(1/365) = 1.05%, or 1.26% if trading days are used (√(1/252)). With the S&P 500 at 5,000, that is roughly ±287 points over a month and ±52 to ±63 points for a day, depending on the day-count convention.
| Horizon | Scaling | Move in % | Move in points |
|---|---|---|---|
| 30 calendar days | √(30/365) | 5.7% | ±287 |
| 1 day (calendar) | √(1/365) | 1.05% | ±52 |
| 1 day (trading) | √(1/252) | 1.26% | ±63 |
Common misreadings
- It is not a fear gauge in any precise sense: it measures the price of 30-day variance, which rises with demand for protection but also with any expected turbulence.
- It cannot be traded directly. VIX futures and options are priced off the expected future value of the index, and settle on a special opening quotation of the VIX on expiry morning, usually a Wednesday; they can differ widely from the spot index.
- Because it is variance-based and includes the put wing, the VIX is generally above the at-the-money implied volatility of SPX options.
- The expected move is a one-standard-deviation band under a normal approximation; index returns have fatter tails.
Relevance to futures traders and Senzoukria
For ES and NQ traders, the VIX scales expectations: the same 30-point range in ES is a quiet session when the VIX is high and a busy one when it is low. Senzoukria does not display the VIX index. Its GEX module computes ATM implied volatility, skew and term structure from the option chain loaded for the chosen underlying, such as SPY or QQQ, which gives a comparable reading of the options market's expectations for that product.
Related
In the same section
- IV rank vs IV percentile
- Volatility cone
- Visible range volume profile
- Volatility crush
- Vertical spread
- Volatility drag
- Velocity logic
- Volatility risk premium
Sources
This page in other languages
Frequently asked questions
- What is a normal VIX level?
- There is no fixed normal; the index has spent long periods in the low teens and spiked far higher in crises. Comparing the current level with its own history, or with realized volatility, is more informative than any single threshold.
- Why can VIX futures differ from the VIX?
- A VIX future settles on the VIX value at its expiry, weeks or months ahead, so it prices the expected future level of 30-day volatility, not today's. When the market expects volatility to revert, futures sit below or above the spot index accordingly.