Has VIX Been “Low”? VIX Has Been Higher Than Historic Volatility of SPX

This year the average daily closing value of the CBOE Volatility Index® (VIX®) has been 14.2, a number that is well-below the 20.3 all-time average daily closing value for the VIX since the inception of its data in 1990. When I have been on the road giving presentations on the VIX over the past year, on occasion an attendee will express a sentiment such as “I am surprised that the VIX is down around 14. After watching the financial news shows on TV, I would have thought VIX would be higher given all the worldwide apprehension and uncertainties.”

To respond to these types of comments, I note that the VIX actually usually has been significantly higher than the historic volatility of the S&P 500 (SPX) Index over the past two years. The historic volatility of the S&P 500 has been quite low in recent years (contrary to the impression that is conveyed on some financial TV shows).

More facts and related charts include —

  • Since Jan. 2012 the average 30-day historic volatility of the S&P 500 Index has been a relatively low 12.6, while the VIX has had an average daily closing value of 16.3 (see Figure 1 below).
  • Since Jan. 2012 the S&P 500 Index has had a pretty steady upward move, and has not had any days in which it dropped more than 3% (on the other hand, it dropped more than 3% on 23 trading days in 2008) (see Figures 2 and 5 below).
  • The average 30-day historic volatility of the S&P 500 Index dropped from 34.6 in 2008 to 11.7 so far in 2013 (see Figure 4 below).
  • The average 30-day historic volatility of the S&P 500 Index has been lower than the VIX in every year since 2009 (see Figure 4 below).

111Five charts for VIX vs. his vol

In light of the above facts and the charts below, the VIX recently has not been abnormally low when compared to SPX historic volatility. Investors should not expect the VIX to consistently be above 20 in light of the SPX Index movements over the past 2 years.


For investors who do think that the VIX nowis low, and has potential to move much higher, strategies that could be considered include long VIX futures and long VIX call options.

I have spoken to some covered call managers who told me they believe that index covered calls can generate some attractive risk-adjusted returns as long as VIX stays above the S&P historic volatility.

The CBOE Volatility Index® (VIX®) continues to be the world’s premier measure of market expectations of 30-day volatility conveyed by S&P 500 stock index option prices. Please visit www.cboe.com/VIX for more details, a bibliography, charts and price histories.

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Matt Moran

Matt Moran is vice president of business development for Chicago Board Options Exchange (CBOE), where he communicates with pension funds, mutual funds, and financial advisors. He has delivered more than 200 presentations worldwide on the topics of managing volatility and adding income with option-writing strategies. Previously,…