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Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in CBOE Volatility Index, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends.
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Returns By Period
CBOE Volatility Index (^VIX) has returned 68.90% so far this year and 13.33% over the past 12 months. Over the last ten years, ^VIX has returned 6.78% per year, falling short of the S&P 500 Index benchmark, which averaged 12.16% annually.
CBOE Volatility Index
- 1D
- -17.51%
- 1M
- 27.14%
- YTD
- 68.90%
- 6M
- 55.10%
- 1Y
- 13.33%
- 3Y*
- 10.53%
- 5Y*
- 7.82%
- 10Y*
- 6.78%
Benchmark (S&P 500 Index)
- 1D
- 2.91%
- 1M
- -5.09%
- YTD
- -4.63%
- 6M
- -2.39%
- 1Y
- 16.33%
- 3Y*
- 16.69%
- 5Y*
- 10.18%
- 10Y*
- 12.16%
Monthly Returns
Based on dividend-adjusted daily data since Jan 2, 1990, ^VIX's average daily return is +0.24%, while the average monthly return is +2.16%. At this rate, your investment would double in approximately 2.7 years.
Historically, 47% of months were positive and 53% were negative. The best month was Aug 2015 with a return of +134.6%, while the worst month was Nov 2020 at -45.9%. The longest winning streak lasted 5 consecutive months, and the longest losing streak was 8 months.
On a daily basis, ^VIX closed higher 47% of trading days. The best single day was Feb 5, 2018 with a return of +115.6%, while the worst single day was Apr 9, 2025 at -35.8%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 16.66% | 13.88% | 27.14% | 68.90% | |||||||||
| 2025 | -5.30% | 19.48% | 13.50% | 10.86% | -24.82% | -9.91% | -0.06% | -8.13% | 5.99% | 7.13% | -6.25% | -8.56% | -13.83% |
| 2024 | 15.26% | -6.62% | -2.91% | 20.29% | -17.44% | -3.72% | 31.51% | -8.31% | 11.53% | 38.43% | -41.67% | 28.42% | 39.36% |
| 2023 | -10.48% | 6.70% | -9.66% | -15.61% | 13.69% | -24.25% | 0.29% | -0.44% | 29.11% | 3.54% | -28.78% | -3.64% | -42.55% |
| 2022 | 44.19% | 21.43% | -31.81% | 62.45% | -21.59% | 9.62% | -25.71% | 21.28% | 22.23% | -18.15% | -20.48% | 5.30% | 25.84% |
| 2021 | 45.45% | -15.53% | -30.59% | -4.07% | -9.94% | -5.55% | 15.22% | -9.65% | 40.41% | -29.73% | 67.22% | -36.67% | -24.31% |
Benchmark Metrics
CBOE Volatility Index has an annualized alpha of 172.35%, beta of -4.40, and R² of 0.49 versus S&P 500 Index. Calculated based on daily prices since January 03, 1990.
- This index tended to rise when S&P 500 Index fell (downside capture of -1511.62%), but participation in market rallies was also limited (-143.90%) — a profile typical of counter-cyclical assets.
- Beta of -4.40 may look defensive, but with R² of 0.49 this index is largely uncorrelated with S&P 500 Index — low beta reflects independence, not downside protection. See the Volatility section for a true picture of this index's risk.
- R² of 0.49 means the benchmark explains less than half of this index's behavior — treat beta with caution or consider switching to a more representative benchmark.
- Alpha
- 172.35%
- Beta
- -4.40
- R²
- 0.49
- Upside Capture
- -143.90%
- Downside Capture
- -1,511.62%
Return for Risk
Risk / Return Rank
^VIX ranks 24 for risk / return — below 24% of indices on our site. The returns aren't fully compensating for the risk involved. This isn't necessarily a dealbreaker, but factor it into your decision — especially if you're risk-averse.
Return / Risk — by metrics
The table below present risk-adjusted performance metrics for CBOE Volatility Index (^VIX) and compare them to a chosen benchmark (S&P 500 Index).
| ^VIX | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.09 | 0.90 | -0.80 |
Sortino ratioReturn per unit of downside risk | 1.25 | 1.39 | -0.13 |
Omega ratioGain probability vs. loss probability | 1.15 | 1.21 | -0.06 |
Calmar ratioReturn relative to maximum drawdown | -0.59 | 1.40 | -1.99 |
Martin ratioReturn relative to average drawdown | -0.74 | 6.61 | -7.35 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
Explore ^VIX risk-adjusted metrics in detail
Dive deeper into individual metrics with historical trends, benchmark comparisons, and performance across different time periods.
Drawdowns
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.
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Worst Drawdowns
The table below displays the maximum drawdowns of the CBOE Volatility Index. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.
The maximum drawdown for the CBOE Volatility Index was 88.70%, occurring on Nov 3, 2017. Recovery took 592 trading sessions.
The current CBOE Volatility Index drawdown is 69.46%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -88.7% | Nov 21, 2008 | 2255 | Nov 3, 2017 | 592 | Mar 16, 2020 | 2847 |
| -85.66% | Mar 17, 2020 | 1067 | May 21, 2024 | — | — | — |
| -78.38% | Oct 9, 1998 | 2086 | Jan 24, 2007 | 424 | Sep 29, 2008 | 2510 |
| -74.47% | Aug 24, 1990 | 842 | Dec 22, 1993 | 975 | Oct 30, 1997 | 1817 |
| -57.51% | Oct 31, 1997 | 178 | Jul 17, 1998 | 29 | Aug 27, 1998 | 207 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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