Formula & Calculation Mechanism
30-Day Weighted SPX Out-of-the-Money Put and Call Option Implied Volatilities
When investors buy downside SPX Puts for portfolio protection, option market makers hedge by selling futures, pushing VIX higher.
Market Impact on US Equities & S&P 500
VIX below 15 signals low option demand and low volatility. VIX spiking above 25-30 indicates market panic, often marking tactical buying opportunities.
Historical Precedents & Bull/Bear Regimes
In March 2020, VIX hit an all-time peak of 82.69. In August 2024, a yen carry-trade unwind sparked a VIX spike to 65.73.