Fear on the tape

What VIX is

The CBOE Volatility Index — printed as VIX:INDEXCBOE — is the market’s 30-day forecast of S&P 500 volatility. CBOE builds it from a strip of out-of-the-money SPX puts and calls, then quotes the result in annualized percentage points, not dollars. A print of 20 means the options market is pricing roughly a 20% annualized move in the S&P 500 over the next 30 days.

How it operates

• · Implied, not realized. VIX looks forward from option prices. It does not measure the tape you already saw.
• · Cash index, not a stock. You cannot buy this print. CBOE lists VIX futures and options; listed ETPs track those futures, not the spot index.
• · Usually inverse to stocks. When the S&P sells off, VIX typically rises. When the bid returns, VIX typically fades.
• · Mean-reverting. Spikes do not last. Very low prints do not last either. The long-run center of gravity sits in the mid-teens to low-20s.
• · Term structure. 9-day, 30-day, 3-month, and 6-month prints usually sit in contango — longer tenors higher. Backwardation, when spot is above the back months, is a stress tell.