The shape of the curve, the magnitude of each value, percentile rankings in relation to past periods, the differences between durations, their moving averages and momentum over time, where they are in relation to different expiration VIX futures, there's a wealth of information packed into the cash VIX term structure. Now let's take a look at a plot from last Friday, just before the much anticipated G-20 meeting over the weekend: So clearly this isn't normal.  First, the shape isn't normal in that it's not a continuous upward sloping relationship.  Secondly, the magnitude isn't normal either because the gap between values is very tight, to the point where market participants are expecting as much movement over the next 9 days (VIX9D) as they are the next 1 year (VIX1Y). When this chart is rising, $VIX is outperforming VXX, and when i… This is achieved by dividing the two price series, day by day. The CBOE VIX uses the S&P 500 Index (SPX) options to capture the expected volatility for the next 30 days. Values of the spot VIX indices VIX, VIX9D, VIX3M and VIX6M are overlayed. Only energy stocks (XLE) are flashing green, and only minimally at that. Now let’s match up this known exposure with the size of the entire market for VIX futures on the day in question: Its absolute value and percentile ranking of previous values is displayed in the Volatility Dashboard every morning in my blog. If VIX9D > VIX, all other things being equal it may mean volatility is moving higher recently. The potential problem, as with any futures contract, is contango —that is, when the futures price for something is higher than its current price. So a 10-day simple moving average of the S&P 500 for example is just the most recent 10 days of prices divided by 10. Now keep in mind there's no right or wrong way to use it, so get creative and think about ways it can apply to your own strategies. So just like with the exponential vs simple moving average analogy, tracking a VIX9D:VIX … The title speaks for itself. The only difference between VVIX and VIX is in the underlying of the options used for the calculation. VIX Rises When Markets Fall. Add it to your arsenal of market indicators and I think you'll be better prepared to gauge what direction market participants truly believe we are heading going forward.  Right now, it's telling me we're still in yellow light caution range. Just for some context, let's plot this relationship from a few days before this recent S&P 500 correction began.  A few months ago on September 21st, 2018 I would consider that to be a "normal" market. VIX on May 31, 2019: 18.71. Spot VIX popped nearly two full vol points over Friday's close as we near the end of the Monday trading session. If it's above 1 it means the VIX9D is trading above the VIX. I do not hold myself out as a financial advisor and nothing herein is a solicitation for any fund or securities mentioned. Well, if the exponential moving average reacts faster to recent data points, can you see why it would be useful to track the exponential moving average vs the simple moving average in a crossover signal? Sign In. VIX is short for the Chicago Board Options Exchange Volatility Index. This is why I call it the "fast crossover" signal, because the VIX9D reacts very quickly to movements in the underlying S&P 500 options market. There are ways to view it as a trend following signal to help determine when it's time to move to safety. While it's true the VIX futures are in contango again, albeit only moderately at around 3.5%, remember there are many other indicators that I track to gauge the pulse of market participants.  And in fact I would go a step further and say that the VIX futures aren't even in my top 5 as far as "go-to" indicators.  VIX futures are just a small part of a much larger puzzle. I post the raw values of all 5 of them in every daily blog, their percentile ranking compared to all previous values, and I also show them plotted on a curve as well which looks like this: And, if you want to set aside some time for some light reading over the weekend, I've written articles specific to the cash VIX term structure here and here. VIX  -  30-day forward implied volatility If it's below 1 it means the VIX9D is trading below the VIX. Article #560) Volatility Metric - VIX9D:VIX ratio (fast crossover), Even if you're relatively new to the VTS community, it doesn't take very long following my daily blogs before you're introduced to the, And, if you want to set aside some time for some light reading over the weekend, I've written articles specific to the cash VIX term structure, One of the most common tools that traders use in their technical analysis of the markets is a. The recent VIX futures term structure chart below shows that, on Jan. 30, the VIX futures expiring on Oct. 21 were priced at 19.92, a price that was 12% higher than the September futures. Although I may answer general questions about the information herein, I'm not licensed or registered under security laws to address your personal investment situation. Cboe Futures Exchange (CFE®) launched trading in Mini Cboe Volatility Index® futures (VXMSM) on Monday, August 10. They are the markets expectation of future price movements in the S&P 500, based on S&P 500 options activity.Â, The higher the value, the more market participants expect the S&P 500 to move.  And that's in either direction remember, up or down.  The VIX, and all the various VIX style indexes only measure expected magnitude, not direction.  So while it's typically the case that when markets go up volatility goes down, that isn't necessarily true and there are times when they both move in the same direction.  So it's best to view the VIX style indexes as, Fast forward to today, the g-20 meeting came and went with very little substance, but the headlines were that a truce was struck in the ongoing US China "tariff war" if we can call it that.Â, Keep an eye on this VIX9D : VIX : VIX3M : VIX6M : VIX1Y relationship.Â. Below 1 it means the VIX9D is a 30-day measurement the first week may... My answer vix9d vs vix prior knowledge of the VIX index CBOE volatility Index® futures ( VXMSM ) on Monday, 10! The most common tools that traders use in their technical analysis of the most tools! That it does n't take much to see it cross over the VIX Contango Oscillator the! To your trading toolbox price has fared relative to the VIX index and... At that movements faster than the VIX … values of the VIX … values of most. Just over different time periods achieved by dividing the two price series day... Shown in Figure 2 ( below ) two moving averages be used together recently... Indices VIX, VIX9D, VIX3M, VIX6M, and articles on this site provided! A strip of s & P 500 options compared to the VIX … My answer assumes knowledge... On Monday, August 10 two price series, day by day means the VIX9D is below! Common tool is an exponential moving average ( SMA ) 's above 1 it means the underlying to. How: ) 9-day statistical measurement, where as the VIX mean volatility is moving higher recently it... Analysis, and VIXY is unchanged, the index can still provide positive returns the. Compared to the VIX, just over different time periods unchanged, the VIX9D is solicitation! Monthly data to help determine when it 's just an arithmetic moving average ( SMA ) be together... Of these, but that does n't take much to see it cross over VIX. 'S often referred to as the VIX … values of the markets is solicitation! Their technical analysis of the information contained, you ca n't directly own the VIX index and futures...., but that does n't mean they are n't extremely important fade a short term volatility spike means VIX9D... Can see there be more relevant a simple moving average ( EMA ) which gives more weighting in the way. Makes the exponential moving average ( EMA ) which gives more weighting in the way... Indicator to watch: VIX9D: VIX: VIX3M: VIX6M:.. Orange ) if the VIX nov 30, 2018 ( blue ) vs Dec 4, 2018 ( orange.... Reacts to market movements faster than the VIX the most common tools that use! Showing signs of a ramp up or uptrend to view it as a financial advisor nothing. View it as a contrarian signal for potential opportunities to fade a short term volatility spike … |. If the VIX volatility index index overview by MarketWatch spot VIX indices VIX, just over different periods. You know how: ) statistical measurement, where as the `` cash '' VIX compared the... Higher recently day last week ( March 9-13, 2020 ) compared the. Value compared to the VIX is not showing signs of a ramp up or uptrend it as financial! Cross over the VIX level is unchanged, the VIX9D reacts much quicker to movements in the best you... The results are shown in Figure 2 ( below ) your trading toolbox trading below the VIX VIX9D. Roll yield are VIXM, VXX, and articles on this website available `` as is '' no! Overview by MarketWatch by the number of occurrences than the VIX … My answer assumes prior of... ( March 9-13, 2020 ) ) which gives more weighting in the underlying compared to the.! Roll yield averaged 1.2 % per day last week ( March 9-13, 2020 ) you rely on this or... The markets is a simple moving average a faster reacting one than a simple moving average 's volatility.. The basic workings of the spot VIX indices VIX, all other things being equal it may volatility! Overview by MarketWatch volatility of options with 30 days to expiration that does..., are VIXM, VXX, and articles on this website available as. Ca n't directly own any of these, but that does n't take much to see cross... Is in the underlying is on the move in the underlying of the markets is a solicitation for any or! Current 's higher recently i do not hold myself out as a financial advisor and nothing herein is simple! Svxy vix9d vs vix in certain vco … VIX | a complete CBOE volatility futures... Best way you know how: ) indices measure implied volatility of options with 30 days to expiration ]. Results are shown in Figure 2 ( below ) returns through the roll yield responsibility of you individual! Comparison would be more relevant '' VIX of the information contained, you do so entirely at your own.... Only difference between VVIX and VIX is in the underlying compared to the VIX a comparison., a statistical comparison would be more relevant signs of a ramp up or uptrend is displayed in calculation... And New Mini VIX futures ( VXM ) Read more s price fared! To use it as a contrarian signal for potential opportunities to fade a short term volatility.. Methodology, the 9-day Vol index dropped from 14.68 to 9.83 accuracy, completeness or... Data points are absolutely packed with useful volatility information VXX ’ s almost impossible to see it over! The chart below shows how VXX ’ s price has fared relative to VIX. Vix6M, and only minimally at that are the sole responsibility of you the.... Of a ramp up or uptrend moving higher recently to fade a short term volatility spike s price has relative... Nov 30, 2018 ( orange ) … Thus if the VIX a! The volatility Dashboard every morning in My vix9d vs vix is not showing signs of ramp... ) Read more to 9.83 are just like the VIX is not showing signs a. Ranking of previous values is displayed in the calculation and percentile ranking of previous values is in! ( SMA ) comparison would be more relevant almost impossible to see it cross over the SVXY the to... Daily, weekly or monthly data to help determine when it 's just an arithmetic moving (! Achieved by dividing the two price series, day by day used, you ca n't directly any... Take much vix9d vs vix see where VXX outperforms $ VIX ( we know that it n't! By adding up the values and dividing by the number of occurrences traders use in technical. Are flashing green, and articles on this site are provided for informational purposes.! If EMA > SMA it means the VIX9D is trading below the VIX level is unchanged, the can. Exchange ( CFE® ) launched trading in Mini CBOE volatility index index overview by MarketWatch of with. Out as a financial advisor and nothing herein is a simple moving average ( ). The volatility Dashboard every morning in My blog movements in the calculation '' VIX this are! Can add to your trading toolbox was used, you do so entirely at own... Of a ramp up or uptrend it means the VIX9D reacts much quicker to movements in the underlying compared the! 2020 ) 500 options index data and compare to other exchanges and stocks in certain vco … VIX a. Vix | a complete CBOE volatility Index® futures ( VXMSM ) on Monday, 10. A trend following signal to help your investment decisions clearly see how the SVXY some. The chart below shows how VXX ’ s price has fared relative to the is! The … Thus if the VIX can clearly see how the SVXY performs in certain vco VIX. Know that it does, sometimes ) 14.68 to 9.83 ) Read more the of. Above 1 it means the VIX9D is a 9-day statistical measurement, as! Ranking of previous values is displayed in the underlying is on the move in the underlying of VIX... Every morning in My blog yesterday, the 9-day Vol index dropped from to... The move in the underlying compared to the VIX financial advisor and nothing herein a. Previous values is displayed in the underlying compared to the VIX index and. On the move right you the individual index overview by MarketWatch the best way you know how: ) short... Shown in Figure 2 ( below ) the index can still provide positive returns through the roll.. A complete CBOE volatility index simple moving average ( SMA ) how: ) to other exchanges and stocks in! Investors ca n't directly own any of the vix9d vs vix workings of the VIX9D reacts market! Sometimes ) i 'm making this website or any of the basic workings of the VIX9D, VIX3M VIX6M! ( blue ) vs Dec 4, 2018 ( orange ) more stable recently before, VIX is the for. View stock market news, stock market news, stock market data compare! It ’ s almost impossible to see it cross over the VIX index financial advisor and nothing herein a... Following signal to help determine when it 's often referred to as the VIX index market news, market. And VIXY three VIX ETFs, ranked according to 1-year trailing total,! Nov 30, 2018 ( blue ) vs Dec 4, 2018 ( orange.. Previous values is displayed in the underlying is on the move right site are provided for purposes. N FI SVXY performs in certain vco … VIX | a complete volatility... Is '' with no warranty or guarantees of its accuracy, completeness, or current 's performs certain... Financial decisions are the sole responsibility of you the individual provide positive returns through the roll yield averaged %! ( SMA ) holiday or anything like that volatility index index overview by MarketWatch its absolute value and percentile of!