Highlights
- Avg. Volume (1M)
- 0
- Avg. Volume Value (1M)
- $0.00
Share Price Chart
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Performance
^VVIX Performance Chart
Cboe VVIX Index (^VVIX) is down 1.1% since the beginning of the year. ^VVIX is currently trading at $92 per share. Investors who bought $1,000 worth of ^VVIX shares 5 years ago would now be looking at an investment worth $789.
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Returns By Period
Cboe VVIX Index (^VVIX) has returned -1.11% so far this year and -16.53% over the past 12 months. Over the last ten years, ^VVIX has returned -0.24% per year, falling short of the S&P 500 Index benchmark, which averaged 13.26% annually.
Cboe VVIX Index
- 1D
- -3.19%
- 1M
- 3.20%
- 6M
- -15.29%
- YTD
- -1.11%
- 1Y
- -16.53%
- 3Y*
- 1.56%
- 5Y*
- -4.63%
- 10Y*
- -0.24%
- ALL TIME*
- 0.23%
Benchmark (S&P 500 Index)
- 1D
- 0.70%
- 1M
- 0.09%
- 6M
- 7.94%
- YTD
- 9.41%
- 1Y
- 20.07%
- 3Y*
- 17.84%
- 5Y*
- 11.25%
- 10Y*
- 13.26%
- ALL TIME*
- 8.09%
^VVIX Monthly Returns History
Based on dividend-adjusted daily data since Jan 3, 2007, ^VVIX's average daily return is +0.14%, while the average monthly return is +0.96%. At this rate, an investment would double in approximately 6.0 years.
Historically, 47% of months were positive and 53% were negative. The best month was Aug 2015 with a return of +55.7%, while the worst month was Nov 2024 at -29.2%. The longest winning streak lasted 5 consecutive months, and the longest losing streak was 6 months.
On a daily basis, ^VVIX closed higher 45% of trading days. The best single day was Feb 27, 2007 with a return of +57.0%, while the worst single day was Aug 14, 2017 at -21.1%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 16.74% | 2.51% | 4.65% | -19.26% | -8.15% | 0.94% | 5.49% | -1.11% | |||||
| 2025 | -2.71% | 7.38% | -9.06% | 3.20% | -6.98% | -5.69% | 9.62% | -1.22% | -1.32% | 8.94% | -13.52% | 2.58% | -11.18% |
| 2024 | 0.69% | -11.55% | -1.14% | 6.86% | -4.34% | 1.55% | 18.58% | -0.55% | 5.99% | 22.70% | -29.18% | 20.86% | 19.97% |
| 2023 | 8.89% | -3.74% | 8.38% | -0.72% | 5.17% | -9.06% | 4.30% | -6.78% | 16.46% | -6.55% | -1.40% | 0.29% | 12.86% |
| 2022 | 14.03% | -1.14% | -9.86% | 9.45% | -23.68% | -3.98% | -10.18% | 10.10% | 20.12% | -25.74% | 3.72% | -5.80% | -29.74% |
| 2021 | 22.77% | -9.01% | -19.94% | 9.18% | -3.49% | 1.25% | 8.85% | -8.93% | 11.53% | -10.88% | 35.54% | -23.07% | -1.96% |
Benchmark Metrics
Cboe VVIX Index has an annualized alpha of 81.98%, beta of -2.36, and R2 of 0.30 versus S&P 500 Index. Calculated based on daily prices since January 03, 2007.
- This index tended to rise when S&P 500 Index fell (downside capture of -305.27%), but participation in market rallies was also limited (-69.95%) - a profile typical of counter-cyclical assets.
- Beta of -2.36 may look defensive, but with R2 of 0.30 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 0.30 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
- 81.98%
- Beta
- -2.36
- R²
- 0.30
- Upside Capture
- -69.95%
- Downside Capture
- -305.27%
Return for Risk
Risk / Return Rank
^VVIX ranks 7 for risk / return — above 7% of indices peers on PortfoliosLab. Its historical combined result is below most peers; review the five component ranks for context.
Risk / Return Metrics
The table below present risk-adjusted performance metrics for Cboe VVIX Index (^VVIX) and compare them to S&P 500 Index.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| ^VVIX | Benchmark | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.49 | ||
| Sortino ratioReturn per unit of downside risk | -1.43 | ||
| Omega ratioGain probability vs. loss probability | 1.06 | 1.25 | -0.19 |
| Calmar ratioReturn relative to maximum drawdown | -0.18 | 2.00 | -2.18 |
| Martin ratioReturn relative to average drawdown | -0.27 | 8.49 | -8.77 |
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 VVIX 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 VVIX Index was 64.71%, occurring on May 10, 2024. The portfolio has not yet recovered.
The current Cboe VVIX Index drawdown is 55.86%.
Drawdown | Fall | Recovery | Underwater | Related event |
|---|---|---|---|---|
-64.71%May 2024 | 4y 1mo | — | 6y 4moMar 2020 - now | — |
-58.49%Feb 2019 | 1y 13d | 1y 23d | 2y 1moFeb 2018 - Mar 2020 | — |
-58.22%Apr 2008 | 8mo 10d | 2y 27d | 2y 9moAug 2007 - May 2010 | Financial crisis2007–2009 |
-57.44%May 2014 | 3y 11mo | 1y 3mo | 5y 3moMay 2010 - Aug 2015 | — |
-55.18%Apr 2017 | 1y 8mo | 9mo 16d | 2y 5moAug 2015 - Feb 2018 | — |
Drawdown Indicators
| ^VVIX | Benchmark | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -64.71% | -56.78% | -7.93% |
Max Drawdown (1Y)Largest decline over 1 year | -38.94% | -9.10% | -29.84% |
Max Drawdown (3Y)Largest decline over 3 years | -52.75% | -18.90% | -33.85% |
Max Drawdown (5Y)Largest decline over 5 years | -53.07% | -25.43% | -27.64% |
Max Drawdown (10Y)Largest decline over 10 years | -64.71% | -33.92% | -30.79% |
Current DrawdownCurrent decline from peak | -55.86% | -1.58% | -54.28% |
Average DrawdownAverage peak-to-trough decline | -44.01% | -10.70% | -33.31% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 25.02% | 2.14% | +22.88% |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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