Glossary / Macro & regime

VIX

Also called: volatility index · fear index

The VIX is an index of the volatility expected over the next 30 days in the S&P 500, derived from the prices of that index's options. It is quoted as an annualised percentage and is often described as a fear gauge, which is loose but not baseless.

How it is measured

How is VIX measured?

The calculation aggregates the prices of a wide strip of index options across strikes at two nearby expiries, and interpolates between them to produce a constant 30-day horizon. The inputs are current option prices, so the index reflects what participants are paying for optionality right now, not a survey and not a forecast anyone has published.

Why it matters

Why does VIX matter to a swing trader?

The VIX summarises expected market-wide movement in one number, which is why it is the standard shorthand for market conditions. Two misreadings are worth naming. It is not directional — it measures expected size of movement, not expected direction, though in practice it rises most when the index falls because that is when demand for downside protection concentrates. And it is not a forecast of the level of the index; it is a price for expected movement, which can be systematically above or below what subsequently occurs.

Related

See this in the product

The live market regime view · Full methodology

Related terms

Volatility
Volatility measures how much a security's price varies around its own average over a period.
Market regime
A market regime is a broad classification of prevailing market conditions into a small set of named states — risk-on and risk-off being the most common pair, sometimes with a neutral state between them.
Market breadth
Market breadth measures how widely a market move is shared across the securities in it, rather than how far the index itself has travelled.
Beta
Beta measures how much a security's price has historically moved for a given move in its benchmark.

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General information about market vocabulary, written to be descriptive rather than prescriptive. Not investment advice — see the risk disclosure.