CBOE Volatility Index (VIX, VIXCLS)
Daily close of the CBOE Volatility Index (VIX, FRED VIXCLS) from 2000 onwards. The single most-watched market-fear gauge in the world. VIX measures expected 30-day implied volatility in S&P 500 options, with 20 the historical mean, sustained sub-15 prints marking complacency regimes, and prints above 30 marking acute risk-off episodes. Includes the October 2008 (89.5) and March 2020 (82.7) extreme readings. AUD-trader framing on AUD/USD risk-off correlation and ASX 200 implied-vol read-across.
Chart
Daily CBOE VIX close. 30-day implied volatility on S&P 500. Reference lines: 20 (historical mean), 30 (stress threshold).
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 2000
| VIX range | Regime | Frequency | Interpretation |
|---|---|---|---|
| Below 12 | Extreme complacency | ~5% of days | Vol-selling crowded; vol-spike risk elevated |
| 12-15 | Low vol regime | ~25% | Bull market; risk-on positioning |
| 15-20 | Normal regime | ~35% | Default; balanced positioning |
| 20-25 | Elevated | ~15% | Mild stress; news-driven choppiness |
| 25-30 | Stressed | ~10% | Risk-off bias; defensive positioning warranted |
| 30-40 | Acute stress | ~6% | Major sell-off ongoing or imminent; cash heavy |
| 40+ | Crisis | ~3% | Buy opportunity at extremes (with horizon) |
Trader takeaway
- VIX spikes are buy signals on a horizon. Historical S&P 500 returns over 6-12 months following VIX peaks above 40 are strongly positive. Buying into panic is a positive-EV trade with patience.
- 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. Pre-2022, BTC had near-zero VIX correlation. Post-2022 institutional adoption, correlation is roughly 0.3-0.4 over rolling 60-day windows. 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.
- Thresholds. 20 (long-run mean) and 30 (stress threshold).
- Static-first. Snapshot preserved if FRED unreachable.
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 2008 GFC peak (89.5 on October 24, 2008) and the March 2020 COVID peak (82.7 on March 16, 2020) are the two highest VIX prints in the recorded history of the index.
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 collapse to 0.5510, a multi-decade low. (2) ASX 200 implied volatility (ASX VIX, AXVI) tracks the US VIX with about 0.7 beta but is structurally lower because of lower-vol Australian financials and miners. (3) Crypto correlation: BTC has shown rising correlation to the VIX since 2022, with major risk-off episodes (VIX above 30) typically coinciding with BTC drawdowns of 10-25 percent.
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 typically precede vol spikes within 6-18 months as accumulated leverage and overextended positions unwind. Famous example: VIX bottomed at 9.14 on November 24, 2017 (lowest of the modern era), preceded by 6 weeks of even lower realised vol. February 2018 saw the 'Volmageddon' XIV blowup that took VIX from 9 to 50 in 3 trading days.
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. Most retail VIX-long products have lost 99 percent of their value since inception due to 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. The original VIX methodology launched in 1990; the current VIX (broader S&P 500 options input) was introduced in 2003 with backfilled history. FRED provides daily closes from 1990 onwards. This chart starts from 2000.
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