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
Updates:
- 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.
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