Volatility indices, such as the widely followed VIX, attempt to measure the expected market movement, or volatility, over the next 30 days. High relative values are typically associated with fear, which can help predict a market bottom.
We maintain indicators that are based on 3 widely followed volatility indices, which are distributed by the Chicago Board Options Exchange (CBOE). The volatility indices that we track are:
- S&P 500 Volatility Index (VIX)
- S&P 100 Volatility Index (VXO)
- NASDAQ-100 Volatility Index (VXN)
We apply moving averages to each of the indices above to add a smoothing effect to the data. We also, compute the ratio of the raw index to its moving average, much like our movement indicators. Currently, we publish 21 volatility indicators.