Index Insights: Banking Concerns Lead to Quarterly Highs for VIX® Index and VIX9D Indices

Matt Moran
April 12, 2023

I’m Matt Moran, and I’ve followed Cboe’s indices for more than two decades. Each month, I’m sharing a look back at market activity across global indices and highlighting where there were opportunities for high yields or risk mitigation. I also love to share historical data and analyze how certain indices have performed over the decades. My hope is that these insights provide good food for thought to help you consider how you might approach similar situations in the future. So, let’s dive in.

March Highlights:

  • Cboe’s S&P 500 9-day VIX Index (VIX9DSM) and Cboe Volatility Index® (VIX® Index) hit quarterly highs on March 13, following the shutdown of Silicon Valley Bank 
  • 30 years of the VIX Index
  • Three of Cboe’s benchmark indices rose more than 9% in March
  • 14 Cboe indices had lower standard deviations than five benchmark stock indices 

Index Insight

First-Quarter Volatility and Concerns About the Banking Sector

Concerns about the soundness of the banking system had a significant impact on the expected volatility of the U.S. stock market in March. On March 10, regulators took over Silicon Valley Bank (SVB) and the Federal Deposit Insurance Corporation (FDIC) was named the receiver for the 16th largest bank in the country. On March 13, Cboe S&P 500 9-Day Volatility Index (VIX9DSM) and the Cboe Volatility Index® (VIX® Index) experienced their highest daily closing values of the quarter with the VIX9D closing at 30.93, and the VIX Index closing at 26.52, after hitting an intraday high of 30.81. Fluctuations in these indices can be related to the amount of options premiums paid by options buyers to options sellers.

The VIX Index is a calculation designed to produce a measure of constant, 30-day expected volatility of the U.S. stock market, derived from real-time, mid-quote prices of S&P 500® Index (SPX℠) call and put options. Increases in volatility indices reflect activity in the options market that indicated investors had concerns about how the collapse of SVB and the subsequent closure of Signature Bank would impact the economy. As investors used options to hedge their risk, the VIX9D and VIX Index tracked the activity, accordingly, providing insight into overall investor sentiment.

VIX9D and VIX Indices in 1Q2023

(Jan. 3 - March 31, 2023, Daily Closing Levels)

Source: Cboe Global Markets

Index Trivia

Thirty years ago this month, Cboe introduced the Cboe Volatility Index® (VIX® Index), which has become known as the world’s barometer for market volatility. Since the creation of the VIX Index, Cboe has continued to be a global pioneer in the indices space, introducing hundreds of indices based on volatility, options and futures strategies. Our global indices are a foundational piece of our business and help make derivatives exposure accessible and understandable.

Keeping Score

Month-End Scorecard

The table below shows the percentage price changes for 30 indices, including 21 of Cboe’s strategy benchmark indices, five stock indices and four of Cboe’s volatility index gauges. 

Month End Scorecard for 30 Indices (March 31, 2023)

Source: Cboe Global Markets (All the indices above (except the 4 volatility indices) are total return (pre-tax) indices. Past performance is not predictive of future returns.)

Five-Year Gains

As shown above, eight of Cboe’s strategy benchmarks rose more than 45% over the five-year period. Most notably, the Cboe Capped VIX Premium Strategy Index (VPN Index), which tracks a portfolio of short nearby VIX futures and a long nearby VIX-style call overlaid on 1-month Treasury bills, rose 89%. The past five years experienced up and down stock markets with varying volatility, which likely contributed to the growth of this index.

Gains in Q1 2023

Three of Cboe’s benchmark indices rose more than 9% in March. The Cboe Nasdaq-100 BuyWrite Index (BXN Index) was up 13.0%, the Cboe TLT 2% OTM BuyWrite Index (BXTB Index) was up 9.2% and the Cboe VIX Premium Strategy Index (VPD Index) was up 9.2%. The BXN and BXTB indices collected options premiums that enhanced performance, while the VPD Index often can perform well when the VIX Index is in contango.

From Then to Now

Lower Standard Deviations for Some Cboe Strategy Benchmark Indices

Over a 16-year period, 14 Cboe indices had lower standard deviations than 5 popular benchmark stock indices, meaning many Cboe indices had lower volatility. This is because the majority of Cboe indices were based on buywrite or putwrite strategies. Buywrites and cash-secured putwrite strategies receive options premium, which has the potential to help smooth out returns in some regimes. For example, the Cboe PPUT Index buys S&P 500 Index protective puts, with a goal of mitigating the impact of severe bear markets on a U.S. stock portfolio. 

Standard Deviations - 20 Indices (May 2007-March 2023)

Source: Zephyr and Cboe Global Markets (Total return (pre-tax) indices. Past performance of indices is not predictive of investors' future returns.)

Indices are an excellent way to learn about and better understand the markets, various sectors and different strategies. In March, the current events and investors’ response provided a look into what may cause market volatility, how it is measured and how it can be leveraged for risk mitigation. Next month, we’ll look at how the markets responded to world events in April and highlight related useful indices. Until then, check out the resources below to learn more.

More from Cboe

There are important risks associated with transacting in any of the Cboe Company products or any digital assets discussed here. Before engaging in any transactions in those products or digital assets, it is important for market participants to carefully review the disclosures and disclaimers contained at: These products and digital assets are complex and are suitable only for sophisticated market participants. These products involve the risk of loss, which can be substantial and, depending on the type of product, can exceed the amount of money deposited in establishing the position. Market participants should put at risk only funds that they can afford to lose without affecting their lifestyle. Past performance of an index or financial product is not indicative of future results. © 2023 Cboe Exchange, Inc. All Rights Reserved.