CBOE Volatility Index (VIX, VIXCLS)
Daily close of the CBOE Volatility Index (VIX, FRED VIXCLS) from January 1990 to the latest close (15.01 on 6 October 2026). The single most-watched market-fear gauge in the world. VIX measures expected 30-day implied volatility in S&P 500 options. The average close since 1990 is about 19.4; sustained sub-15 prints mark complacency regimes and prints above 30 mark acute risk-off episodes. Includes the record close of 82.69 (16 March 2020) and the GFC closing high of 80.86 (20 November 2008; 89.53 intraday in October 2008). AUD-trader framing on AUD/USD risk-off correlation and ASX 200 implied-vol read-across.
Chart
Daily CBOE VIX close from January 1990. 30-day implied volatility on S&P 500. Reference lines: 20 (close to the long-run average), 30 (stress threshold). Recessions shaded from 2001.
What is the VIX?
The VIX is computed from a strip of S&P 500 index option prices. It is a model-free implied volatility measure (no Black-Scholes assumption required): the index aggregates demand for puts and calls across a range of strikes to produce a single annualised volatility number representing the market's expectation of 30-day forward S&P 500 vol.
The VIX is in percentage points, annualised. To get implied daily moves: divide by sqrt(252) ≈ 15.87. A VIX of 20 implies roughly 1.26 percent expected daily moves; a VIX of 40 implies 2.5 percent expected daily moves.
VIX regimes since 1990
| VIX range | Regime | Frequency | Interpretation |
|---|---|---|---|
| Below 12 | Extreme complacency | ~9% of days | Vol-selling crowded; vol-spike risk elevated |
| 12-15 | Low vol regime | ~23% | Bull market; risk-on positioning |
| 15-20 | Normal regime | ~31% | Default; balanced positioning |
| 20-25 | Elevated | ~20% | Mild stress; news-driven choppiness |
| 25-30 | Stressed | ~9% | Risk-off bias; defensive positioning warranted |
| 30-40 | Acute stress | ~6% | Major sell-off ongoing or imminent; cash heavy |
| 40+ | Crisis | ~2% | Buy opportunity at extremes (with horizon) |
Trader takeaway
- VIX spikes are buy signals on a horizon. S&P 500 returns after VIX closing peaks above 40 have usually been positive: in all nine such episodes since 2000 the index was higher six months later, and in eight of nine twelve months later (September 2001 was the exception). Buying into panic has tended to pay for patient holders.
- Low-VIX regimes are not sell signals on their own. Bull markets can run for years with low VIX. The vol-spike risk is asymmetric (right-tail), so size accordingly rather than positioning short.
- VIX divergence with S&P 500. When S&P 500 makes new highs but VIX is also rising, internals are weakening - watch for the breakdown. Example: late 2007 and early 2018.
- BTC vs VIX correlation has risen. BTC's link to the VIX has tightened since 2022 as institutional ownership grew. Treat BTC as a risk asset for purposes of macro positioning.
Methodology
- Source. FRED series VIXCLS (CBOE VIX daily close).
- Endpoint. Public fredgraph.csv.
- Recession shading. NBER-dated US recessions from 2001 onwards (2001, 2007-09, 2020). Earlier recessions are not shaded.
- Thresholds. 20 (close to the long-run average close of about 19.4 since 1990) and 30 (stress threshold).
- Refresh cadence. An automated cloud refresh pulls the series from FRED twice a day (07:30 and 13:30 Sydney time) and the site rebuilds when the data changes. If FRED is unreachable, the last good data is kept.
Related tools
- Crypto Fear and Greed Index - the BTC-market sentiment equivalent.
- 2Y/10Y Yield Curve - the rates-market recession signal.
- Fed Funds Rate - the policy variable behind vol regime shifts.
- US Unemployment Rate - the macro variable VIX prices.
Frequently asked questions
The CBOE Volatility Index is a real-time index derived from the prices of S&P 500 index options. It represents the market's expectation of 30-day forward-looking volatility, expressed in annualised percentage terms. A VIX of 20 means options markets are pricing roughly 1.25 percent daily moves in the S&P 500 over the next month (20 percent annualised / sqrt(252) ≈ 1.26 percent). Spikes above 30 indicate acute stress; sustained sub-15 prints indicate complacency.
Because demand for S&P 500 put options (insurance against losses) spikes during market panics, which mechanically raises implied volatility, which raises the VIX. The VIX therefore captures aggregate market participant willingness to pay up for downside protection - a direct measure of fear. The highest daily close on record is 82.69 on 16 March 2020 (COVID). The GFC closing high was 80.86 on 20 November 2008, and the intraday record of 89.53 came on 24 October 2008.
Three channels. (1) AUD/USD: a VIX spike usually coincides with USD strength on safe-haven flows, pushing AUD/USD lower. The March 2020 VIX peak coincided with AUD/USD's slide to a 0.5743 close on 20 March 2020 (about 0.55 intraday), its weakest level in roughly 17 years. (2) ASX 200 implied volatility (the S&P/ASX 200 VIX, XVI) usually moves with the US VIX. (3) Crypto correlation: BTC has tracked risk sentiment more closely since 2022, and major risk-off episodes (VIX above 30) have tended to coincide with sharp BTC drawdowns.
VIX sustained below 15 marks a complacency regime: option implied vol is below realised vol; the market believes near-term risks are low; risk-asset positioning is crowded. These regimes often end in a vol spike as accumulated leverage and overextended positions unwind. Famous example: the lowest VIX close on record is 9.14 on 3 November 2017. In February 2018 'Volmageddon' followed: the VIX close jumped from 13.47 on 1 February to 37.32 on 5 February (it touched about 50 intraday the next morning) and the XIV inverse-volatility note collapsed.
Not the spot VIX (it's a calculated number, not a tradable instrument). You can trade VIX futures, VIX options, and VIX-linked ETFs / ETNs (VXX, UVXY, SVXY, etc.). These have well-known structural issues: contango (paying for negative roll yield) eats VIX-long positions in calm markets; backwardation (positive roll) helps in stress. Long-VIX products such as VXX have lost almost all their value over multi-year holding periods because of the contango drag. Use VIX futures or options for tactical hedges; do not buy-and-hold VIX ETFs.
FRED series VIXCLS sources the daily CBOE-published VIX close. CBOE launched the VIX in 1993 and moved to the current methodology (a broader strip of S&P 500 options) in 2003, with history calculated back to 1990. FRED provides daily closes from January 1990 and the chart shows the full series. An automated refresh pulls it from FRED twice a day (07:30 and 13:30 Sydney time) and the site rebuilds when the data changes; if FRED is unreachable, the last good data is kept.
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