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      Market Data provided by CME Group & powered by dxFeed Technology. Options involve risk and are not suitable for all investors. Please read Characteristics and Risks of Standardized Options before deciding to invest in options.
      Market Measures

      Elevated VIX Levels

      | Jan 22, 2016
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      Market Measures

      Elevated VIX Levels

      Jan 22, 2016

      Both commodity and equity markets have been extremely volatile and have seen large intraday swings since the beginning of the year. The VIX, a measure of implied volatility in the S&P 500, and sometimes called the “fear index," has moved sharply higher.

      A graph of the CBOE Volatility Index (VIX) from 1990 to present was displayed. The VIX is currently trading above its historical average, but this has happened many times over the years.

      A graph of historical VIX levels and the 25th, 50th, and 75th percentiles was displayed. Current VIX levels are on the far end of the normal distribution curve, meaning that we are at an extreme. When we've reached these levels, how long does the VIX tend to stay elevated?

      A table of the number of consecutive days the VIX stayed above 25 was displayed. The table included the maximum number of consecutive days, and the median number of consecutive days. The table showed that the vast majority of the time, the VIX contracts after 3 days of trading above 25. However, the number of consecutive days when the VIX was over 25 was far longer in 2008.

      Watch this segment of “Market Measures” with Tom Sosnoff and Tony Battista for the valuable takeaways and a better understanding of how implied volatility, and specifically the VIX, tends to move.

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