Is Crude Oil More Volatile Than Stocks? Check Out the OVX Index

The CBOE Volatility Index® (VIX®) has become so well known that for many investors the VIX is the primary barometer or virtual proxy for volatility. The VIX is designed reflect market expectations of 30-day implied volatility conveyed by S&P 500 stock index option prices.

In recent years I often have heard the following questions —

  1. Are there other indexes that use the VIX methodology to create implied volatility indexes for options on other asset classes and other stock indexes?
  2. How does the volatility of the S&P 500® Index compare to the volatility of other asset classes?

The answer to question number 1 above is that there now are dozens of indexes worldwide that are legally authorized to use the proprietary VIX methodology (for a sampling of some volatility indexes created by CBOE, including the CBOE Crude Oil ETF Volatility Index (OVX), please visit

For the remainder of this blog, I will focus primarily on the volatility of two very important indicators – the S&P 500 Index and the dollar price per barrel of WTI crude oil. 

An answer to question number 2 above is that crude oil prices often have been much more volatile than the S&P 500 Index.


As one can see n the first chart below, the prices for crude oil have had dramatic swings over the past 6 years.


If an analyst prefers a longer time frame over which to view volatility, the use of historic volatility of commodity spot prices could be preferable (options on commodity-based ETFs were not available in the 20th century).

The 30-day historic volatility for crude oil peaked at over 125 in January 2009, but it has fallen to around 20 this month.

Here is the average 30-day historic volatility since January 1993 for three key barometers —


  • 36.5 Crude oil spot (WTI)
  • 17.0 S&P 500 Index         
  • 14.9 Gold spot

The 30-day historic volatility for the USO ETF peaked at around 88 in December 2009.

The approximate average 30-day historic volatility for six ETFs over the past 5 years was —

41.7 EWZ – iShares MSCI Brazil Index ETF

49.3 FXI – iShares FTSE China 25 Index ETF

36.5 USO – US Oil Fund ETF

43.8 EEM – iShares MSCI Emerging Markets Index ETF

21.0 GLD – SPDR Gold Trust ETF

22.7 SPY – SPDR 500


Some analysts prefer to look at real-time updates of implied volatility indexes that are designed to reflect intraday customer sentiment.

The CBOE Crude Oil ETF Volatility Index (OVX) has a price history back to May 2007, and its peak daily close was 100.42 on December 11, 2008. The OVX Index is designed to reflect the 30-day implied volatility of USO ETF options


The average daily closing values from May 10, 2007 through February 14, 2012 were –

41.9 CBOE Crude Oil ETF Volatility Index (OVX)

26.5 CBOE Volatility Index (VIX)


As noted in the table below, the daily changes in the OVX Index had a negative 0.73 correlation to those of the USO ETF during the time period covered.

There were three days in August 2011 in which the USO ETF fell by more than 6% and the OVX Index rose by more than 26%.


Some CBOE customers have expressed an interest in a future launch of OVX futures and options. Please check for an update on the status of possible OVX futures and options.

If OVX futures and options are launched in the future, and if you believe that the OVX is mean-reverting and you believe that there is a good chance that OVX might rise significantly in upcoming weeks or months, four strategies that you might consider include –


  1. Long OVX call options
  2. Long OVX call spreads
  3. Short OVX put credit spreads
  4. Long OVX futures.

Before investing in any volatility-based product (futures, options, or ETP), please do your homework regarding the unique pricing of volatility-based products. You can visit for some information regarding pricing, and for more information on the OVX Index.