12 Key Stats Re: VIX Index

In the recent August 16 Striking Price column in Barron’s, Steven Sears authored a piece entitled “A New Vision of VIX” that noted –

 “Over the past 21 years, the CBOE Volatility Index, or VIX, has emerged as one of Wall Street’s most watched sentiment indicators. …Krag “Buzz” Gregory, a Goldman strategist, found that U.S. consumer spending, manufacturing, and employment data explain 57% of the variability in VIX levels back to 2000.  …Gregory told clients that the options market is engaged in a tug of war between a strengthening U.S. economy and menacing geopolitical concerns. Against this battle between the constructive and destructive, the VIX has averaged 16.3 in August, versus a year-to-date average of 13.7. …”

The column noted that there are “widespread worries that investors are too complacent or somehow missing the larger picture.” Some observers have questioned whether the CBOE Volatility Index® (VIX®) has been low in light of overseas tensions, while other commenters have noted that the historic volatility of the S&P 500® Index generally has been even lower than the VIX Index throughout most of this year.

We see and hear many comments and questions on the popular VIX Index and related products; here are twelve key stats —

 RECENT STATS re: VIX Index

  •  13.6 – Average daily closing value for VIX in 2014 (year-to-date)
  • 10.4 – Average historic volatility for S&P 500 (SPX) Index in 2014 (YTD, see graph)
  • 12.32 – VIX Index closing value on Aug. 18
  • 17.30 – settlement value for VIX April 2015 futures on Aug. 18

LONG-TERM STATS re: Daily Closing Values of VIX (Jan. 1990 – Aug. 15, 2014)

  •  18.28 – Median daily closing value of VIX
  • 20.03 – Average daily closing value of VIX
  • 80.86 – Highest daily closing value of VIX (on Nov. 20, 2008)
  •   9.31  – Lowest daily closing value of VIX (on Dec. 22, 1993)

VOLUME-RELATED STATS

  • 0.36 – put/call ratio for VIX options in 2014 (through July), with total volume of 25,951,739 VIX put options, and 71,454,856 VIX call options (buyers of VIX call options have the potential to profit if VIX futures prices rise sharply)
  • 640,264 – average daily volume for VIX options this month (through August 15)
  • 292,683 – average daily volume for VIX futures this month (through August 15)
  • 159,498 - average daily volume for VIX futures in 2013 (the highest total for any full calendar year)

MM VIX Aug 18

For those investors who wonder if VIX is “too low” or “too high” relative to their own views of the market, VIX futures and options now offer investable instruments to implement investment strategies. You can visit www.cboe.com/VIX to learn more about investing in VIX futures and options.