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Performance
^VVIX Performance Chart
Cboe VVIX Index (^VVIX) is up 7.4% since the beginning of the year. ^VVIX is currently trading at $100 per share. Investors who bought $1,000 worth of ^VVIX shares 5 years ago would now be looking at an investment worth $923.
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Returns By Period
Cboe VVIX Index (^VVIX) has returned 7.37% so far this year and -4.62% over the past 12 months. Over the last ten years, ^VVIX has returned -2.27% per year, falling short of the S&P 500 Index benchmark, which averaged 13.71% annually.
Cboe VVIX Index
- 1D
- 8.48%
- 1M
- 9.15%
- YTD
- 7.37%
- 6M
- 16.87%
- 1Y
- -4.62%
- 3Y*
- 2.52%
- 5Y*
- -1.60%
- 10Y*
- -2.27%
Benchmark (S&P 500 Index)
- 1D
- -1.44%
- 1M
- -1.45%
- YTD
- 7.60%
- 6M
- 6.59%
- 1Y
- 22.24%
- 3Y*
- 19.20%
- 5Y*
- 11.54%
- 10Y*
- 13.71%
^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 +1.00%. At this rate, an investment would double in approximately 5.8 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% | 15.62% | 7.37% | ||||||
| 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 82.52%, beta of -2.35, 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 -313.26%), but participation in market rallies was also limited (-69.95%) - a profile typical of counter-cyclical assets.
- Beta of -2.35 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
- 82.52%
- Beta
- -2.35
- R²
- 0.30
- Upside Capture
- -69.95%
- Downside Capture
- -313.26%
Return for Risk
Risk / Return Rank
^VVIX ranks 13 for risk / return — in the bottom 13% of indices on our site. This means you're taking on significantly more risk than the returns justify. Consider whether the potential upside is worth the volatility, or explore alternatives with better risk / return profiles.
Return / Risk — by 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 | -1.83 | ||
| Sortino ratioReturn per unit of downside risk | -1.87 | ||
| Omega ratioGain probability vs. loss probability | 1.07 | 1.32 | -0.26 |
| Calmar ratioReturn relative to maximum drawdown | -0.12 | 2.46 | -2.58 |
| Martin ratioReturn relative to average drawdown | -0.21 | 10.92 | -11.12 |
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 52.07%.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
2024 bear market2024 | -64.71%May 2024 | 4y 1mo | — | 6y 3moMar 2020 - now |
2019 bear market2019 | -58.49%Feb 2019 | 1y 13d | 1y 23d | 2y 1moFeb 2018 - Mar 2020 |
Financial crisis2007–2009 | -58.22%Apr 2008 | 8mo 10d | 2y 27d | 2y 9moAug 2007 - May 2010 |
2014 bear market2014 | -57.44%May 2014 | 3y 11mo | 1y 3mo | 5y 3moMay 2010 - Aug 2015 |
2017 bear market2017 | -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 | -52.07% | -3.21% | -48.86% |
Average DrawdownAverage peak-to-trough decline | -43.95% | -10.71% | -33.24% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 22.89% | 2.04% | +20.85% |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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Build a portfolio with ^VVIX
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