| Horizon | Expected move | Points | Range |
|---|
Default VIX is the latest reading on the live VIX chart. One standard deviation covers roughly two out of three outcomes; about 95% fall within twice the range.
VIX Level Meaning Table
| VIX | Fear level | Daily move | Weekly move | Monthly move |
|---|---|---|---|---|
| 10 | Complacent | ±0.63% | ±1.39% | ±2.89% |
| 12 | Calm | ±0.76% | ±1.66% | ±3.46% |
| 15 | Calm | ±0.94% | ±2.08% | ±4.33% |
| 18 | Calm | ±1.13% | ±2.50% | ±5.20% |
| 20 | Elevated | ±1.26% | ±2.77% | ±5.77% |
| 25 | Elevated | ±1.57% | ±3.47% | ±7.22% |
| 30 | High fear | ±1.89% | ±4.16% | ±8.66% |
| 35 | High fear | ±2.20% | ±4.85% | ±10.10% |
| 40 | Crisis | ±2.52% | ±5.55% | ±11.55% |
| 50 | Crisis | ±3.15% | ±6.93% | ±14.43% |
| 60 | Crisis | ±3.78% | ±8.32% | ±17.32% |
| 80 | Crisis | ±5.04% | ±11.09% | ±23.09% |
The formula
Expected move = VIX ÷ √(periods per year). With 252 trading days, a one-day move is VIX ÷ 15.87, a week is VIX ÷ 7.21 and a month is VIX ÷ 3.46. This is the “rule of 16”: a VIX of 16 means roughly a 1% daily move.
Why it usually overshoots
Option sellers demand a premium for bearing crash risk, so implied volatility tends to sit above the volatility the S&P 500 actually delivers. That gap is the volatility risk premium, and it is why the index stays inside the VIX range more often than the textbook 68%.
Where it breaks
Returns have fat tails. Days like Black Monday 1987 or March 2020 were many standard deviations outside what the VIX implied beforehand. Use the expected move as a baseline for sizing and strike selection, not as a ceiling.
Related
Educational information only, not investment advice.