This is why it's often referred to as the "cash" VIX. Those 5 data points are absolutely packed with useful volatility information. View and download daily, weekly or monthly data to help your investment decisions. VIX6M  -  6-month forward implied volatility There is no difference in calculation. First I'll show how to calculate it because that's easy enough, and then after that we'll talk about what it means. VIX is short for the Chicago Board Options Exchange Volatility Index. So this metric is just a ratio of the VIX9D value compared to the VIX index. My answer assumes prior knowledge of the basic workings of the VIX index and futures contracts. Calculating VIX is complex enough to border on being proprietary, but it is available on many quotation systems and on the exchange’s website.. VIX9D  -  9-day forward implied volatility Nov 30, 2018 (blue) vs Dec 4, 2018 (orange). For example, it’s almost impossible to see where VXX outperforms $VIX (we know that it does, sometimes). Thus if the VIX level is unchanged, the index can still provide positive returns through the roll yield. So I'm not saying that won't happen, we'll be watching closely the next few days.  Maybe this "vol crush" is just slow getting started.  The fact that the S&P 500 is down -0.7% this morning, yet the VIX is flat, that's a good sign.  It means it'll take more than just small drops to rattle this market.  However we don't front run so we'll wait for confirmation of the signal before acting. While it's true the VIX futures are in contango again, albeit only moderately at around 3.5%, remember there are many other indicators that I track to gauge the pulse of market participants.  And in fact I would go a step further and say that the VIX futures aren't even in my top 5 as far as "go-to" indicators.  VIX futures are just a small part of a much larger puzzle. Add it to your arsenal of market indicators and I think you'll be better prepared to gauge what direction market participants truly believe we are heading going forward.  Right now, it's telling me we're still in yellow light caution range. The point today is, we need to look at a multitude of volatility metrics to base trade decisions on, not just the very narrow view of front month VIX futures contango. This means the VIX9D reacts much quicker to movements in the underlying compared to the VIX. For example, this roll yield averaged 1.2% per day last week (March 9-13, 2020). All the other sectors are down, anywhere from .18% (for staples - XLP) to 1.47% (real estate - XLRE). Cboe Futures Exchange (CFE®) launched trading in Mini Cboe Volatility Index® futures (VXMSM) on Monday, August 10. I present this signal as an additional tool you can add to your trading toolbox. It's just a statistic, calculated based off a strip of S&P 500 options. So just like with the exponential vs simple moving average analogy, tracking a VIX9D:VIX … I had several questions yesterday about why we are not back into all our "bullish" trades like MDY stocks, SVXY, VXX puts etc.  The commonality I was hearing was that since the front two month VIX futures are back in contango now, that must mean we're all clear to go for it right? This makes the exponential moving average a faster reacting one than a simple moving average. TradingView. VIX  -  30-day forward implied volatility Ticker Trading Ideas Educational Ideas Scripts People The CBOE VIX uses the S&P 500 Index (SPX) options to capture the expected volatility for the next 30 days. Like I said before, VIX is not showing signs of a ramp up or uptrend. This means the VIX9D reacts much quicker to movements in the underlying compared to the VIX. The chart below shows how VXX’s price has fared relative to the VIX. This is achieved by dividing the two price series, day by day. Although I may answer general questions about the information herein, I'm not licensed or registered under security laws to address your personal investment situation. * All information, analysis, and articles on this site are provided for informational purposes only. VIX Rises When Markets Fall. It doesn't take much to see it cross over the VIX. Term Structure and Volatility Indices on the S&P 500® Index Cboe Options Exchange offers these five gauges of expectations of future volatility based on real-time trading of S&P 500 options: the VIX9D Index (9-day volatility), VIX … 2)  The magnitude:  See how the gap between the far left VIX9D and the far right VIX1Y is substantial?  On that day the VIX9D was 10.63 and the VIX1Y was all the way up at 17.  Under normal conditions we should expect more potential movement the further out in time we look, so a larger gap between VIX9D and VIX1Y is considered normal. So just like with the exponential vs simple moving average analogy, tracking a VIX9D:VIX ratio and using it as a crossover signal can be telling. Nothing herein should be interested as personalized investment advice as I make no recommendations to buy, sell, or hold any securities or positions. Because the VIX and VXX will tend to … While it's true the VIX futures are in contango again, albeit only moderately at around 3.5%, All of these products are measuring the same thing, just over different time frames. They are the markets expectation of future price movements in the S&P 500, based on S&P 500 options activity.Â, The higher the value, the more market participants expect the S&P 500 to move.  And that's in either direction remember, up or down.  The VIX, and all the various VIX style indexes only measure expected magnitude, not direction.  So while it's typically the case that when markets go up volatility goes down, that isn't necessarily true and there are times when they both move in the same direction.  So it's best to view the VIX style indexes as, Fast forward to today, the g-20 meeting came and went with very little substance, but the headlines were that a truce was struck in the ongoing US China "tariff war" if we can call it that.Â, Keep an eye on this VIX9D : VIX : VIX3M : VIX6M : VIX1Y relationship.Â. Today I'll unpack just one of them, but again I'm not overstating it when I say there are dozens of useful ways to interpret those data points. Any and all financial decisions are the sole responsibility of you the individual. The above charts are illustrative, but don’t really make the proper comparison, because one is just comparing absolute values of the two, $VIX and VXX, with the naked eye. You can clearly see how the SVXY performs in certain VCO … 10 Key Features of the VIX Index and New Mini VIX Futures (VXM) Read more. VIX on May 31, 2019: 18.71. Volatility Funds vs the VIX. CBOE Volatility Index advanced index charts by MarketWatch. Any and all financial decisions are the sole responsibility of you the individual. Depending on how this signal was used, you can see there. After a long run of mostly quiet days, US equities (SPY, DIA, QQQ, IWM) are beginning off December with a moderate slump. VCO vs SVXY Overlays the VIX Contango Oscillator over the SVXY. The three VIX ETFs, ranked according to 1-year trailing total return, are VIXM, VXX, and VIXY. I do not hold myself out as a financial advisor and nothing herein is a solicitation for any fund or securities mentioned. The VIX … I post the raw values of all 5 of them in every daily blog, their percentile ranking compared to all previous values, and I also show them plotted on a curve as well which looks like this: And, if you want to set aside some time for some light reading over the weekend, I've written articles specific to the cash VIX term structure here and here. VIX3M  -  3-month forward implied volatility There's a few things to notice here: 1) The shape: Notice how the shortest term product VIX9D is the lowest value, followed by the 30-day VIX index, and then followed out further in time to the right with the 3-month VIX3M, the 6-month VIX6M, and the 1-year VIX1Y.This upward sloping "cash VIX … Now let’s match up this known exposure with the size of the entire market for VIX futures on the day in question: The results are shown in Figure 2 (below). Past performance is not indicative of future results. I do not hold myself out as a financial advisor and nothing herein is a solicitation for any fund or securities mentioned. The S&P 500® Dynamic VIX Futures™ Total Return Index (the "index") is designed to dynamically allocate between the S&P 500® VIX Short-Term Futures™ Index Excess … The only difference between VVIX and VIX is in the underlying of the options used for the calculation. Article #560) Volatility Metric - VIX9D:VIX ratio (fast crossover), Even if you're relatively new to the VTS community, it doesn't take very long following my daily blogs before you're introduced to the, And, if you want to set aside some time for some light reading over the weekend, I've written articles specific to the cash VIX term structure, One of the most common tools that traders use in their technical analysis of the markets is a. The … Both indices measure implied volatility of options with 30 days to expiration. Get historical data for the CBOE Volatility Index (^VIX) on Yahoo Finance. If you would like an introduction, please read my answer to How does the VIX index and its … By Lawrence G. McMillan. Not really...  The overall curve has dropped slightly, the VIX is a little over 1 handle lower, but much of the uncertainty has remained.  Shape and magnitude are both still not reflecting a market that fully believes in the truce over the weekend.  Typically the VIX9D is the one that moves the fastest, followed by the VIX, and if there really was full conviction we were out danger here we would have seen the VIX9D quickly retreat below the VIX, and the entire front end of the curve to shift much lower. Just for some context, let's plot this relationship from a few days before this recent S&P 500 correction began.  A few months ago on September 21st, 2018 I would consider that to be a "normal" market. Vix9d NG]4 % DV3 [l n FI. If you rely on this website or any of the information contained, you do so entirely at your own risk. So as an example, let's use values from May 31, 2019: VIX9D on May 31, 2019: 19.00 But why is this ratio even important? The VIX is a range bound index (scale on the right side of chart) that stays between around 9 … I'm making this website available "as is" with no warranty or guarantees of it's accuracy, completeness, or current's. VIX | A complete CBOE Volatility Index index overview by MarketWatch. The title speaks for itself. More specifically, these are the 5 cash volatility indexes: As you may know, you can't directly own the VIX index. They are also just statistical values based off S&P 500 options, which is why I call it the "cash" VIX term structure. Another very common tool is an exponential moving average (EMA) which gives more weighting in the calculation to more recent occurrences. Now let's take a look at a plot from last Friday, just before the much anticipated G-20 meeting over the weekend: So clearly this isn't normal.  First, the shape isn't normal in that it's not a continuous upward sloping relationship.  Secondly, the magnitude isn't normal either because the gap between values is very tight, to the point where market participants are expecting as much movement over the next 9 days (VIX9D) as they are the next 1 year (VIX1Y). The VIX9D is a 9-day statistical measurement, where as the VIX is a 30-day measurement. While the VIX … Clearly volatility was on the move in the first week of May 2019. The VIX has spiked in 2020, rising 63% during the past 12 months. Now keep in mind there's no right or wrong way to use it, so get creative and think about ways it can apply to your own strategies. I'm making this website available "as is" with no warranty or guarantees of its accuracy, completeness, or current's. 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