VIX Volatility Index

Formula

VIX = 30-day implied volatility of S&P 500 options (CBOE model)

• S&P 500 option chain – Near-term and next-term put/call implied vols
• Risk-free rate – T-bill rate for option pricing model

Why It Matters

VIX measures the market's demand for downside protection — the "fear gauge." Sustained readings above 25 historically coincide with equity drawdowns and liquidity stress; sub-15 readings with complacency and carry-trade buildups. For macro allocators, VIX is a cross-asset regime filter: high VIX favours Treasuries, gold, and USD; low VIX favours risk assets and EM carry.

Institutional Use

Volatility funds, risk parity strategies, and CIO offices use VIX for hedging cadence. Central bank financial stability reports cite equity implied vol as an early warning indicator. GraphiQuestor includes VIX on the Regime Digest vitals strip.

How to Read It