PortfoliosLab logo

CBOE Volatility Index (^VIX)

Index · Currency in USD · Last updated Oct 1, 2022

^VIXShare Price Chart


Chart placeholderClick Calculate to get results

^VIXPerformance

The chart shows the growth of $10,000 invested in CBOE Volatility Index in Jan 2010 and compares it to the S&P 500 index or another benchmark. It would be worth nearly $15,778 for a total return of roughly 57.78%. All prices are adjusted for splits and dividends.


-20.00%0.00%20.00%40.00%60.00%80.00%MayJuneJulyAugustSeptember
70.28%
-21.76%
^VIX (CBOE Volatility Index)
Benchmark (^GSPC)

^VIXReturns in periods

Returns over 1 year are annualized

PeriodReturnBenchmark
1M20.64%-10.05%
6M53.79%-20.85%
YTD83.62%-24.77%
1Y40.16%-17.75%
5Y27.11%7.30%
10Y6.84%9.52%

^VIXMonthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
202244.19%21.43%-31.81%62.45%-21.59%9.62%-25.71%21.28%22.23%
202145.45%-15.53%-30.59%-4.07%-9.94%-5.55%15.22%-9.65%40.41%-29.73%67.22%-36.67%
202036.72%112.90%33.48%-36.22%-19.44%10.61%-19.62%7.97%-0.15%44.18%-45.90%10.60%
2019-34.82%-10.80%-7.24%-4.30%42.61%-19.40%6.90%17.74%-14.44%-18.60%-4.54%9.19%
201822.64%46.60%0.60%-20.23%-3.14%4.28%-20.26%0.23%-5.75%75.17%-14.88%40.68%
2017-14.60%7.76%-4.26%-12.53%-3.79%7.40%-8.23%3.22%-10.20%7.05%10.81%-2.13%
201610.93%1.73%-32.12%12.54%-9.62%10.15%-24.06%13.06%-0.97%28.37%-21.86%5.33%
20159.22%-36.39%14.62%-4.84%-4.88%31.72%-33.52%134.57%-13.82%-38.49%7.03%12.90%
201434.18%-23.95%-0.86%-3.39%-14.99%1.49%46.50%-28.67%34.90%-13.98%-4.99%44.04%
2013-20.75%8.61%-18.12%6.46%20.56%3.44%-20.23%26.47%-2.41%-17.17%-0.36%0.15%
2012-16.92%-5.20%-15.90%10.65%40.29%-29.01%10.83%-7.71%-9.96%18.25%-14.68%13.55%
201110.03%-6.04%-3.32%-16.85%4.75%6.93%52.85%25.23%35.86%-30.26%-7.21%-15.83%
201022.85%-20.80%-9.79%25.36%45.44%7.70%-31.96%10.85%-9.02%-10.55%11.04%-24.60%

^VIXSharpe Ratio Chart

The Sharpe ratio shows whether the portfolio's excess returns are due to smart investment decisions or a result of taking a higher risk. The higher a portfolio's Sharpe ratio, the better its risk-adjusted performance.

The current CBOE Volatility Index Sharpe ratio is 0.37. A Sharpe ratio between 0 and 1.0 is considered sub-optimal.

The chart below displays rolling 12-month Sharpe Ratio.


-1.00-0.500.000.501.00MayJuneJulyAugustSeptember
0.37
-0.80
^VIX (CBOE Volatility Index)
Benchmark (^GSPC)

^VIXDrawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way.


-80.00%-60.00%-40.00%-20.00%0.00%NovemberDecember2022FebruaryMarchAprilMayJuneJulyAugustSeptember
-61.76%
-25.25%
^VIX (CBOE Volatility Index)
Benchmark (^GSPC)

^VIXWorst Drawdowns

The table below shows the maximum drawdowns of the CBOE Volatility Index. A maximum drawdown is an indicator of risk. It shows a reduction in portfolio value from its maximum due to a series of losing trades.

The maximum drawdown since January 2010 for the CBOE Volatility Index is 81.85%, recorded on Oct 21, 2021. The portfolio has not recovered from it yet.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-81.85%Mar 17, 2020405Oct 21, 2021
-80.96%Aug 9, 20111573Nov 3, 2017587Mar 9, 20202160
-68.07%May 21, 2010237Apr 28, 201170Aug 8, 2011307
-42.95%Jan 25, 201054Apr 12, 201018May 6, 201072
-37.68%May 10, 20103May 12, 20106May 20, 20109
-23.37%Mar 13, 20201Mar 13, 20201Mar 16, 20202
-13.15%Mar 10, 20201Mar 10, 20202Mar 12, 20203
-12.43%Jan 5, 20105Jan 11, 20107Jan 21, 201012

^VIXVolatility Chart

Current CBOE Volatility Index volatility is 83.78%. The chart below shows the rolling 10-day volatility. Volatility is a statistical measure showing how big price swings are in either direction. The higher asset volatility, the riskier it is, because the price movements are less predictable.


0.00%50.00%100.00%150.00%200.00%MayJuneJulyAugustSeptember
83.78%
19.40%
^VIX (CBOE Volatility Index)
Benchmark (^GSPC)