The Relationship of the SPX and the VIX® Index

The Relationship of the SPX and the VIX® Index

The chart below shows the daily closing prices for the S&P 500 and VIX during the third quarter of 2012. The blue line and left scale represent the S&P 500 while the red line and right scale represent VIX. This chart is a typical example of how the S&P 500 and VIX move relative to each other on a daily basis.

The table below examines price behavior from January 1, 2000 to September 28, 2012. During this time period the S&P 500 closed higher on 1692 trading days, and of those days, VIX closed lower on just over 82% of the time. Also, during this period, the SPX closed lower on 1514 trading days, and of those days, VIX closed higher over 78% of the time. Altogether, during the period covered in the table, VIX moved in the opposite direction of the S&P 500 about 80% of the time.

S&P 500 Up

VIX Index Down

Percent Opposite

1692

1390

82.15%

S&P 500 Down

VIX Index UP

Percent Opposite

1514

1187

78.40%

Source: Bloomberg

  VIX Snapshot

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