Cboe Futures Exchange Daily Market Statistics
Cboe Volatility Index (VIX) – Cboe Volatility Index (measures 30-day volatility of S&P500 stocks) spiked to $66 in end of March 2020, with future contracts forecasted to slowly decline from $30 range through year end
- VIX Index – Chicago Board Options Exchange (Cboe) Volatility Index measures 30-day future volatility of S&P500 Index to indicate view of market risk and investors’ sentiments and fears
- Volatile Q1 2020 – Between February 21-28, 2020, VIX doubled from $17 to $40 when U.S. announced its first local transmission, reaching peak $66 by end of March as outbreak spread to tens of thousands infected
- Q2 2020 Performance – Volatility index eventually dropped to $26.84 in June 2 as the government implemented policies to alleviate the situation, but rose again to $33.47 in June 17 due to other socioeconomic issues
- 2020 Future Contracts – Expected to hover over $30 range for the rest of the year based on future contracts being traded as of June 23, 2020
- 2019 Benchmark – In 2019, Cboe’s Volatility Index remained stable at below $20 levels, with lowest value of $11.75 on November 27 and highest value of $25.45 on January 3
Note: VIX Index takes aggregated weighted prices of options (contracts to sell or buy S&P500 Index stocks for specific price in future) with expiration periods between 23 and 37 days. Values below 20 generally mean stable stress-free market periods, while above 30 values are linked to increased uncertainty, risk and investors’ fear. Volatility index values are strongly negatively correlated to stock market returns because volatility rises when stock returns go down.