Volatility Index

Over its last 20 sessions VIX has moved 6.10% on a typical day, making it one of the most volatile of the indices Kinzan tracks (their median is 0.75%).

Today's move is well inside its normal range: +0.1σ, an entirely ordinary session.

It sits around the middle of its 24-hour range of 15.8–16.38, measured on hourly closes.

Most of the move came in the New York session (13:00–22:00 UTC), which accounted for about 61% of the day's price action.

Over the last 60 sessions of daily returns, it has moved most closely with USD/ZAR (+0.62, a strong relationship), and most inversely to SPX (−0.76).

Market read: Volatility is creeping up, reflecting investor anxiety as New York session activity picks up.

What it is

The VIX does not measure what the market has done; it measures what options traders expect. Published by Cboe Global Markets, it is calculated from a wide strip of S&P 500 index option prices and expresses the market’s expectation of annualised volatility over the next 30 days, in percentage points. A reading of 20, for example, implies expected annualised swings of about 20% in the S&P 500. The index itself cannot be bought directly; exposure comes through VIX futures, options and exchange-traded products that track those futures.

What drives it

Demand for protection is the core driver. When investors fear a sell-off, they buy S&P 500 put options, lifting option prices and pushing the VIX up. The index has a strong tendency to rise when stocks fall, and to spike during sudden shocks — financial crises, pandemics, sharp policy surprises — before falling back over weeks or months. That tendency to revert towards a longer-term average distinguishes it from prices of stocks or commodities, which have no natural level. Scheduled risks such as Federal Reserve meetings, major data releases and elections can lift implied volatility ahead of the event and drain it afterwards.

How it trades through the day

The VIX is computed from S&P 500 option prices during Cboe trading hours, principally the regular US session in the New York block (13:00–22:00 UTC), with an extended-hours calculation also covering much of the Asia block (22:00–07:00 UTC) and London block (07:00–13:00 UTC). VIX futures trade on Cboe Futures Exchange nearly around the clock. Readings outside the regular session can be less representative because option markets are thinner.

What it tends to move with

The VIX has historically moved strongly inversely to the S&P 500, and also against the Nasdaq 100 and the Dow Jones. Spikes have tended to coincide with a stronger yen (a falling USD/JPY) and firmer gold, and with weakness in risk-sensitive pairs such as AUD/USD. VIX futures usually trade above the spot index in calm periods and below it in stress.