Indicator | Macro
VIX (Volatility Index)
"The VIX measures the implied volatility expected on the S&P 500 over the next 30 days. Known as the 'fear index', it is the barometer of global market sentiment."
In-Depth Definition
The CBOE Volatility Index (VIX) is calculated in real time from S&P 500 options prices, reflecting collective volatility expectations for the next 30 days. A low VIX (below 15) indicates a calm market with little uncertainty; a high VIX (above 30) signals high anxiety and expected volatility. The VIX has a strong negative correlation with the S&P 500: it rises when markets fall. Extreme values (VIX > 40) have historically coincided with major market bottoms (2008, 2020). The VIX is not directly tradeable, but derivatives exist (VIX futures, UVXY, SVXY ETFs). Sector VIX equivalents include VXN (Nasdaq), OVX (oil), VSTOXX (Europe), and VVIX (volatility of VIX itself).
StarQuant Insight
StarQuant integrates the VIX and its derivatives (VVIX, term structure) as macro filters to adapt strategies: in high-VIX environments, volatility-selling strategies are favored; in low-VIX environments, directional strategies are prioritized.
Pro Tip
A VIX above 30 has historically been a contrarian buy signal on the S&P 500 at 3-6 months. But beware: VIX can remain elevated for a long time during prolonged crises. Use it as context, not an isolated entry signal.