VIX Level Quick Reference
Market Conditions by VIX Level
| 9-12 | Extreme Low Complacency, consider hedges |
| 12-15 | Low Calm markets, bull trend |
| 15-20 | Normal Historical average range |
| 20-25 | Elevated Uncertainty rising |
| 25-30 | High Market stress, fear present |
| 30-40 | Very High Significant fear, possible bottom |
| 40-50 | Extreme Panic conditions, capitulation |
| 50+ | Crisis Major market event, historic fear |
VIX to Daily Move Conversion
| VIX | Daily Move | Weekly Move |
| 10 | ±0.63% | ±1.39% |
| 15 | ±0.94% | ±2.08% |
| 20 | ±1.26% | ±2.77% |
| 25 | ±1.57% | ±3.47% |
| 30 | ±1.89% | ±4.16% |
| 40 | ±2.52% | ±5.55% |
| 50 | ±3.15% | ±6.94% |
Key Formulas
Essential Calculations
| Expected Daily Move | VIX ÷ 15.87 = ±% |
| Expected Monthly Move | VIX ÷ 3.46 = ±% |
| Annual to Daily Vol | Annual ÷ √252 |
| N-day Expected Move | VIX × √(N÷365) = ±% |
| 68% Probability Range | ±1 standard deviation |
| 95% Probability Range | ±2 standard deviations |
Trading Rules of Thumb
| Contango Cost | ~5-10% monthly in calm markets |
| Mean Reversion | VIX ≥30 runs: mean ~8 sessions, median 2 |
| Spike Recovery | Usually weeks, not months |
| Term Structure | M2/M1 >1.10 = steep contango |
| Backwardation Signal | M1 > M2 = fear/bottom near |
| VIX/VXV Ratio | >1.0 = short-term stress |
Historical Reference Points
Notable VIX Levels
| All-Time High | 89.53 intraday (Oct 24, 2008) |
| COVID Peak | 82.69 record close (Mar 16, 2020) |
| All-Time Low | 9.14 close (Nov 3, 2017) |
| Long-term Average | ~19.4 (since 1990) |
| Median | ~17.6 |
| 90th Percentile | ~28 |
| 10th Percentile | ~12 |
Market Event VIX Spikes
| 1987 Black Monday | ~150 (VXO backcast, pre-dates VIX) |
| 1998 LTCM Crisis | 45.74 |
| 9/11 Attacks | 43.74 |
| 2008 Lehman | 89.53 intraday |
| 2011 US Downgrade | 48.00 |
| 2015 China Deval | 40.74 close (53.29 intraday) |
| 2018 Volmageddon | 37.32 close (50.30 intraday) |
| 2020 COVID | 82.69 close |
Product Quick Reference
VIX Products Comparison
| Product | Exposure | Decay/Day |
| VIX Futures | Direct | Varies |
| VXX | 1x Short-term | ~0.2% |
| UVXY | 1.5x Short-term | ~0.5% |
| SVXY | -0.5x Short-term | +0.05%* |
| VXZ | 1x Mid-term | ~0.1% |
| VIXY | 1x Short-term | ~0.2% |
Options Greeks on VIX
| VIX Level | Typical VVIX | Key Notes |
| <15 | 79-91 | Calls cheap, high gamma |
| 15-20 | 86-102 | Balanced pricing |
| 20-30 | 83-113 | Puts gain value |
| >30 | 90-124 | Elevated IV, calls still bid |
Trading Signals
Entry Signals
| Long Vol | VIX <12, M2/M1 <1.05, VVIX rising |
| Short Vol | VIX >30, backwardation, RSI >70 |
| Calendar Spread | M2/M1 >1.15 or <0.95 |
| Mean Reversion | VIX ≥30 runs: mean ~8 sessions, median 2 |
Exit Signals
| Take Profit Long | VIX spike >50% from entry |
| Stop Loss Long | -30% or 30 days elapsed |
| Take Profit Short | VIX <20 or -40% move |
| Stop Loss Short | VIX breaks above recent high |
Risk Management Guidelines
Position Sizing
| VIX Futures | Max 5% of portfolio |
| VXX/VIXY | Max 3% for hedging |
| UVXY | Max 1% (day trade only) |
| SVXY | Max 5% with stops |
| VIX Options | Risk premium only |
Time Limits
| UVXY Hold | 1-3 days maximum |
| VXX Hold | 2-4 weeks maximum |
| VIX Futures | Roll 1 week before expiry |
| SVXY Hold | 1-3 months with monitoring |
Correlation & Relationships
Key Correlations
| VIX vs SPX | -0.70 to -0.85 |
| VIX vs VIX Futures M1 | ~0.84 (daily, since 2013) |
| VIX vs VIX Futures M6 | ~0.74 (daily, since 2013) |
| VXX vs Spot VIX | ~0.89 (daily, since 2018) |
| UVXY vs VXX | ~0.98 (1.5x leveraged) |
Related Indicators
| VVIX | VIX of VIX (vol of vol) |
| VIX9D | 9-day expected volatility |
| VIX3M | 3-month expected volatility |
| VXN | Nasdaq 100 volatility |
| RVX | Russell 2000 volatility |
| SKEW | Tail risk indicator |
Common Patterns
VIX Chart Patterns
| Spike & Decay | Sharp rise, gradual fall |
| Compression | Sub-15 for weeks = calm, not a timing signal |
| Double Top | Second spike often lower |
| Plateau | 20-25 range = uncertainty |
| Waterfall | Rapid drop after crisis ends |
Seasonality
| January | Near long-run average |
| Summer | Lowest average (July ~17.7) |
| September | Above-average (~20.2) |
| October | Highest monthly average (~21.5) |
| December | Near average, no reliable decline |