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Minyan Mailbag - VIX Levels



Note: Our goal in Minyanville is to remove intimidation from the financial markets and encourage an interactive dialogue among the Minyanship. We share this next discussion with that very intent.

John -

I really enjoy reading your articles. Keep up the good work. Quick question for you. Is the VIX adjusted/normalized for the underlying rate of the SPY? I.E. a VIX of 14 on SPY of 1200 is a much higher vol than a VIX of 14 on SPY of 400 (early 90's).

People all mention how the VIX is trading at its lows but they use the early 90's as a comparison when the SPY was at much lower levels. If the VIX is not adjusted wouldn't that imply that the VIX has still a lot more to fall before vols really are near their all time lows?

Minyan Enrico


The VIX is independent of the index level, i.e., a VIX of 14 implies the same volatility forecast regardless of whether the index is trading 400, 1400, or 14000. The reason for this is that a 14 VIX denotes an implied volatility, or standard deviation, of 14%. Since it is a percentage rather than an absolute number, no adjustment / normalization is necessary.

Prof. Succo

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