VIX charts

Three charts of one symbol's own VIX-style index at 30 days and 3 months, and the ratio between the two.

What it answers

Three charts show one symbol's own VIX-style index: the volatility its options price for the next 30 days and the next 3 months.

• VIX 30-Day shows how much near-term volatility the options market prices now, and how that has changed over time.
• VIX 3-Month shows the same for the next three months.
• VIX Basis shows whether the near term is priced above the longer term, and whether today's gap is unusual for the symbol.

How to read it

1. 1The VIX 30-Day header. Its menu contains Year overlay.
2. 2The line is the VIX 30-day index (VIX 30D) for each trading day, in annualised percent.
3. 3The VIX 3-Month header. Its menu contains Year overlay.
4. 4The line is the VIX 3-month index (VIX 3M) for each trading day, in annualised percent.
5. 5The VIX Basis header. Its menu contains Year overlay, Window and Parity line.
6. 6The line is the VIX term structure ratio. Dashed lines show its rolling mean and one and two standard deviations.

Index method

Each index applies the CBOE VIX method to the symbol's own options. It weights out-of-the-money calls and puts across strikes at the two expiries on each side of the target. It then blends the two to exactly 30 or 91 days. The CBOE VIX uses SPX options, so SPY's VIX 30D is close to the CBOE VIX but not equal to it.

Ratio

The VIX term structure ratio is VIX 30D divided by VIX 3M. A VIX 30D of 15.4 and a VIX 3M of 18.4 give a ratio of 0.83. When either index is zero or missing on a day, that day has no ratio and no point.

A ratio below 1.0 is the usual state: the next month is priced as calmer than the next three. A ratio above 1.0 means the near term is priced as more volatile. Ratios above 1.0 occur in selloffs and before known events. The solid Parity line marks 1.0.

Bands

The bands use the last Window trading days on screen, so the first points after the Range start have no band. A point outside the two standard deviation band is far from the symbol's own recent ratio. The charts apply no colour thresholds.

Each point uses the date of its close. The data updates once a day before the open, so the last point is the previous trading day.

Controls

The chart controls are in the widget menu. Each choice redraws data the chart already has.

• Year overlay: select None, 1Y, 2Y or 3Y prior years.
• A year overlay draws one line per year, aligned by trading day, with the current year in bold.
• A year overlay ignores Range and turns off the bands and the Parity line.
• Window: select 10, 20, 50 or 100 trading days for the VIX Basis mean and bands. The default is 20.
• Parity line: shows or hides the line at 1.0. It is On by default.

Use the header search to select the symbol. Compare draws up to three symbols on one axis. When Compare is on, Year overlay, Window and Parity line have no effect. Range sets the start of the chart.

Control	What it does
VIX 30-Day
overlay	Year overlay, one line per year
VIX 3-Month
overlay	Year overlay, one line per year
VIX Basis
overlay	Year overlay, one line per year
window	Window for the rolling mean and bands
parity	Parity line at a ratio of 1.0

Use it with

• Compare symbols draws these charts for up to three symbols at once.
• The volatility premium charts compare implied volatility with the moves the stock has made.