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New Data: U.S. - S&P 500 volatility [UPDATED]
Wednesday, 27 Dec 2017 21:30 ET
By Karl Zandi
December 2013 -- Moody's Analytics now computes a volatility metric for the S&P 500® Index, which tracks but is distinct from the VIX® (one daily series, from 1950). [Updated October 2016.]

Widely followed by market participants, the Chicago Board Options Exchange Market Volatility Index (official site) is an index of implied volatility for S&P 500 index options. Quoted in percentage points, the VIX indicates expected movement of the S&P 500 index of U.S. equities over the upcoming 30-day period, annualized. It is often called the "fear index."

By contrast, the Moody's Analytics historical volatility metric is a measure of realized volatility -- past behavior, not future. We compute the standard deviation of the percent change in the closing value of the S&P 500 index, over a 30-day backward-looking rolling window of the daily returns, excluding trading holidays. Units are an unspecified "index" such that a higher value denotes more volatility; the series has meaning only over time, not for isolated periods.

Because our metric closely tracks the VIX, it can be interpreted in two ways:

  • As a measure of market volatility in its own right
  • As a proxy variable for the VIX

Complementing our forecasts of the VIX, our U.S. macro model includes FSPVOL.IUSA, introduced in August 2012 (see related article).

Related time series are:

  • CBOEVIXUD.IUSA     = Daily close value of VIX
  • SPISP500UD.IUSA    = Daily S&P 500 index
  • SPISP500VOLUD.IUSA = Volatility metric - February 14, 1950 to present
  • FSPVOL.IUSA        = Forecasted volatility metric
  • FCBOEVIXQ.IUSA     = Forecasted quarterly average of the VIX
  • FCBOEVIXHQ.IUSA    = Forecasted quarterly high value of the VIX


  • Oct. 25, 2013 - Original version of article.
  • Oct. 6, 2016 - Clarified meaning of the units.
  • Oct. 6, 2016 - Because Data Buffet now carries the daily OHLC values of the VIX (see related article), our metric is no longer a necessary proxy.
Related ReleaseS&P Dow Jones Daily Indices
SourceS&P Dow Jones Indices LLC
FrequencyBusiness Daily
GeographyUnited States
Release DateReference date
21 Nov 201821 Nov 2018
23 Nov 201823 Nov 2018
26 Nov 201826 Nov 2018
27 Nov 201827 Nov 2018
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03 Dec 201803 Dec 2018
04 Dec 201804 Dec 2018
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06 Dec 201806 Dec 2018
07 Dec 201807 Dec 2018
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