Looking Beyond the VIX Shows Fever in U.S. Stocks May Be Healing
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Taking a Closer Look at Market Volatility
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The storm of selling that greeted U.S. equity investors returning from holiday break caused a real-time measure of expected volatility to post its biggest first-day jump in history. A longer-term gauge is showing far less panic.
Pushed up as almost $300 billion was wiped from the Standard & Poor’s 500 Index Monday, the world’s most famous equity sentiment gauge, the Chicago Board Options Exchange Volatility Index, has jumped 32 percent since Christmas to 20.7. At the same time, an index of expected stock swings that looks further into the future, a three-month measure known as the VXV, is up just 8 percent over the same stretch.