So what does that mean? What does reliability mean? On the other hand, a low VIX value of less than 30 suggests that the market will be range-bound and there is complacency among investors. The CBOE Volatility Index (VIX) is a measure of expected price fluctuations in the S&P 500 Index options over the next 30 days. The VIX is back to the low levels we saw last summer/fall before a nasty decline ensued. The VIX has tended to explode upwards in response to a sharp decline in the S&P 500 Index (SPX). “Be careful if you think the VIX has nowhere to go but higher”….the VIX has a history of remaining depressed during long periods of time — like they did between 2004 and 2007 when stocks slowly drifted higher. Based on Exhibit 2, ... based on recent volatility and VIX, which comprises first, a mean reversion adjustment and second, the difference between VIX and expected VIX. Does VIX Predict Future Volatility?” provides market participants with ... price changes over 30-day periods after a low VIX, after a high VIX, and after a normal VIX. VIX/S&P 500 in 2011. Spikes in the VIX and outlier days, drive up that average. It's just … At VIX Trader, we don’t care because we plan to feast when volatility spikes, as it inevitably will, but here are the facts as they stand today. Does a low VIX equate to a market pullback? What is the VIX and does its recent drop mean the worst is over? Traders are not as likely to be buying insurance on stocks. For those interested in what the number mathematically represents, here it is in the most simple of terms. November 2017 INDEX INVESTMENT STRATEGY 3 500 realized volatility3 between Dec. 31, 2016, and Nov. 22, 2017. VIX Spike Could Mean Near-Term Stock Weakness Not only has the VIX doubled year-to-date, it has doubled off its low over the past month. The VIX index is currently sitting at its first percentile range. A low VIX typically means that option prices are lower. Reading VIX: Does VIX Predict Future Volatility? In the simplest possible terms, it means that the market expects daily moves in the equity markets to be around four times larger than normal. Over its long history, the S&P 500 has moved a little under 1% each day, on average. The VIX represents the S&P 500 index +/- percentage move, annualized for one standard deviation. Given the devastating impact of the COVID-19 pandemic on global markets, ‘fear’ certainly feels like an apt word to reach for when attempting any sort of market forecast right now. A VIX of 10 would mean that, collectively, they believe that it will move at the rate of only 10% per year. VIX is the ticker symbol and the popular name for the Chicago Board Options Exchange's CBOE Volatility Index, a popular measure of the stock market's expectation of volatility based on S&P 500 index options.It is calculated and disseminated on a real-time basis by the CBOE, and is often referred to as the fear index or fear gauge.. See below a line chart of the VIX using daily data going back to 1990: *Data as of 10/3/2017 While we know that the average VIX price is ~19.50, that does not necessarily mean that that translates to “normal” stock market volatility. When they expect low volatility, they also assume rising stock prices. When the VIX moves out of complacent territory and back towards its mean, then the market is … VIX/S&P 500 in 2010. Ron DeLegge, ... Low VIX readings, in fact, are indicative of complacency, which almost always leads to declines that surprise the market. To understand, first we need to learn more about what the VIX is and isn’t. 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