Market Measures

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The States of VIX

Market Measures

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The VIX represents the current implied volatility of the market, and it exhibits three types of behavior: expansion, contraction, and lull.

As volatility is mean-reverting, periods of steep expansion are typically immediately followed by slightly longer periods of contraction.

While the VIX is in a period of lull the majority of the time (during periods of 42 days on average), volatility expansion occurs over 12 days on average with a subsequent contraction for 17 day periods on average.

Tune in as Tom and Tony unpack this information even further.

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