What is the VIX, and what level signals a stock market crash?

What is the VIX in one minute?

The VIX is the Cboe Volatility Index. It measures the volatility that S&P 500 option prices imply over the next 30 days, and it is quoted as an annualized standard deviation. A higher number means that investors pay more for protection and expect larger moves. A lower number means that they expect calm. Many people call it the fear gauge for that reason.

Cboe describes the VIX as a leading measure of market expectations of near-term volatility. The word expectations carries the meaning: the VIX reads what traders are willing to pay today for the next month. It reports a price of insurance, and the price of insurance rises when shares fall, which is why the gauge spikes inside crashes.

How is the VIX calculated from S&P 500 option prices?

The calculation takes the market prices of S&P 500 call and put options. It uses near-term options with more than 23 days until expiration and next-term options with fewer than 37 days, so that the blend lands on a 30-day horizon. It adds the risk-free Treasury bill rate and weights out-of-the-money options by strike.

The result is the square root of the risk-neutral expectation of S&P 500 variance over the next 30 calendar days. Options whose bid price is zero are dropped, and so are strikes beyond two consecutive zero bids. The method rests on traded prices, so any trader with the same option chain can rebuild the number.

How did the VIX evolve from the S&P 100 version to today?

Cboe held a press conference on 19 January 1993 to announce real-time reporting of the index. The original version used S&P 100 options and is now known as the VXO. In 2003 Cboe switched the underlying index to the S&P 500, which gave the VIX its present form. The series has been calculated back to 1990.

Trading products followed the index. VIX futures began trading in March 2004, and VIX options began in February 2006. These dates show why 1987 has no VIX reading: the crash of that year came 6 years before the first real-time version. This page is general information, not investment advice.

Which VIX level has signalled a stock market crash in the past?

No official threshold exists, so the useful tool is a ladder of verified readings. In 2026 the index fell below 15 while US equity markets traded within a relatively narrow range. On 5 February 2018 it closed at 37.32, up 103.99% in one day. On 9 March 2020 it reached 62.12, the highest level since 2008.

The crash closes sit higher still. The index closed at 80.74 on 21 November 2008 and at 82.69 on 16 March 2020, the highest close since the index began in 1990. Readings above 60 therefore appear in the record only inside the two deepest crashes of the VIX era, while spikes near 37 mark stress that can fade.

What does the VIX leave out of a stock market crash reading?

The VIX reads the S&P 500 only, over a 30-day window, from option prices. It leaves out the build-up of leverage, hidden risk, and credit stress that precede a crash. It also measures expectations of movement in either direction, so a very high reading shows a large expected swing and the swing can run up as well as down.

The VIX also depends on the price of insurance. When many investors rush to buy protection at once, the number rises faster than the news. For this reason, professionals read the level together with the speed of change, and they add slower signals such as valuation and the yield curve before deciding that a fall is under way.

How does the VIX move with the S&P 500 in a crash?

Cboe notes that the VIX has historically had a strong inverse relationship with the S&P 500. When shares fall, protection becomes more expensive, and the index rises. On 9 March 2020 the S&P 500 fell 7.6% and the VIX reached 62.12, the highest level since 2008.

The relationship is strong and imperfect. Cboe also notes that volatility tends to revert toward a long-term average, so spikes fade and calm returns. A trader or planner therefore treats a spike as information about stress today, and keeps the longer view for slower gauges that describe valuation and structure.

How can you follow the VIX without reacting to every move?

Check the daily close, write down the level and the one-day change, and compare both with the ladder above. Set two review points in advance, such as a doubling in a single day or a close above a level you chose in calm times. Rules written before stress arrives keep decisions steady when headlines turn loud.

A 30-minute pre-diagnostic with EQOS Asia adds the structural view, since the φ(S) score reads the system underneath the price of insurance. The EQOS Asia pricing page lists the formats for teams in Singapore, ASEAN, and Hong Kong that want a repeatable dashboard beside the VIX.

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About the author

Stéphane Jambu

President, EQOS Forecast Asia

Stéphane Jambu leads EQOS Forecast Asia and works as a consultant in e-commerce, search visibility, and AI. LinkedIn profile