VIX, the fear index
Stock market fear (VIX). Market fear and the dollar.
Updated
What is it?
It is the “fear index”: it measures how much investors expect the US stock market to swing sharply.
30-day implied volatility of the S&P 500 (CBOE). The main barometer of market fear and demand for hedging.
Why does it matter?
Above 30 there is panic and disorderly selling.
What has happened in other crises?
Record closes: 80.9 in November 2008 and 82.7 in March 2020. A VIX of 30 or more indicates disorderly liquidations.
When should it be a concern?
It is a concern when there is a lot of fear in the stock market. Crisis Monitor turns each reading into a score from 0 to 100 using these bands:
| Situation | Value | What does it mean? |
|---|---|---|
| Calm | ≤ 16.00 | Score 0: no stress |
| Watch | ≥ 22.00 | Score 33: starts to draw attention |
| Stress | ≥ 30.00 | Score 66: risk zone |
| Extreme | ≥ 45.00 | Score 100: like in the worst crises |
Between one band and the next, the score is interpolated.
VIX volatility index in past crises
Since January 1990, its weekly low was 9.19 (Oct 2017) and its high was 80.86 (Nov 2008). The typical level (the median) is 17.47.
| Crisis | At the start | High during the crisis |
|---|---|---|
| 1990-91 recession | 17.06 | 36.47 (Aug 1990) |
| Russia and LTCM 1998 | 16.97 | 45.74 (Oct 1998) |
| Dot-com bubble and 2001 recession | 22.21 | 43.74 (Sep 2001) |
| Global Financial Crisis 2007-09 | 18.44 | 80.86 (Nov 2008) |
| European debt crisis 2011 | 14.62 | 42.67 (Aug 2011) |
| 2015-16 market scare | 12.74 | 26.69 (Jan 2016) |
| Q4 2018 sell-off | 12.37 | 28.38 (Dec 2018) |
| COVID panic 2020 | 14.15 | 75.47 (Mar 2020) |
| 2022 bear market | 17.33 | 32.95 (Jun 2022) |
Weekly data. Crises that do not appear predate the series.
How does Crisis Monitor use it?
- Area: Markets, currency and safe havens (15% of the index). Fear in the stock market, the strength of the dollar and whether investors are rushing to safe havens.
- When does it move? Moves with the crisis.
- Data frequency: daily.
- Quick alarm: Yes, it is one of the 5 ignition points.
The index combines 17 indicators. See the methodology to learn how it is calculated.
Data source
Yahoo Finance (^VIX). Data may arrive late and does not constitute financial advice.
Frequently asked questions
What is the VIX?
It is the volatility the market expects for the S&P 500 over the next 30 days, calculated from option prices. That is why it is called the “fear index”.
What VIX level is high?
Below 20 is considered calm. Above 30 it usually indicates disorderly selling. Its highest closes were 80.9 in November 2008 and 82.7 in March 2020.
Does the VIX anticipate falls?
It usually does not: it rises at the same time as the stock market falls. It is useful for measuring the intensity of panic, not for anticipating it.