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Performance
^VXN Performance Chart
CBOE NASDAQ 100 Voltility Index (^VXN) is up 55.8% since the beginning of the year. ^VXN is currently trading at $30 per share. Investors who bought $1,000 worth of ^VXN shares 5 years ago would now be looking at an investment worth $1,436.
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Returns By Period
CBOE NASDAQ 100 Voltility Index (^VXN) has returned 55.78% so far this year and 53.81% over the past 12 months. Over the last ten years, ^VXN has returned 7.16% per year, falling short of the S&P 500 Index benchmark, which averaged 13.33% annually.
CBOE NASDAQ 100 Voltility Index
- 1D
- 31.22%
- 1M
- 28.24%
- YTD
- 55.78%
- 6M
- 55.30%
- 1Y
- 53.81%
- 3Y*
- 18.01%
- 5Y*
- 7.50%
- 10Y*
- 7.16%
Benchmark (S&P 500 Index)
- 1D
- -2.64%
- 1M
- -0.21%
- YTD
- 7.86%
- 6M
- 7.47%
- 1Y
- 23.05%
- 3Y*
- 19.90%
- 5Y*
- 11.79%
- 10Y*
- 13.33%
^VXN Monthly Returns History
Based on dividend-adjusted daily data since Jan 23, 2001, ^VXN's average daily return is +0.17%, while the average monthly return is +1.62%. At this rate, an investment would double in approximately 3.6 years.
Historically, 44% of months were positive and 56% were negative. The best month was Aug 2015 with a return of +105.1%, while the worst month was Oct 2011 at -35.9%. The longest winning streak lasted 5 consecutive months, and the longest losing streak was 11 months.
On a daily basis, ^VXN closed higher 46% of trading days. The best single day was Feb 5, 2018 with a return of +59.8%, while the worst single day was May 10, 2010 at -26.9%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 15.13% | 8.88% | 15.17% | -22.84% | 3.63% | 34.94% | 55.78% | ||||||
| 2025 | 0.95% | 12.68% | 11.96% | 9.58% | -24.93% | -6.28% | -1.69% | -0.62% | 4.66% | 9.95% | -3.73% | -7.61% | -1.81% |
| 2024 | 12.65% | -5.70% | -3.20% | 10.62% | -9.39% | -2.75% | 37.25% | -13.46% | 4.67% | 23.13% | -35.36% | 23.96% | 22.96% |
| 2023 | -6.56% | 2.37% | -10.61% | -14.75% | 9.94% | -11.62% | -1.18% | -3.00% | 13.55% | 5.55% | -25.56% | -3.11% | -41.30% |
| 2022 | 42.26% | 8.49% | -17.51% | 41.72% | -13.70% | 9.69% | -24.74% | 18.13% | 13.73% | -14.89% | -15.08% | 4.31% | 30.19% |
| 2021 | 39.03% | -9.03% | -26.92% | -8.00% | -6.38% | -6.06% | 3.33% | -6.39% | 36.81% | -26.30% | 39.46% | -22.60% | -21.28% |
Benchmark Metrics
CBOE NASDAQ 100 Voltility Index has an annualized alpha of 106.67%, beta of -3.50, and R2 of 0.47 versus S&P 500 Index. Calculated based on daily prices since January 24, 2001.
- This index tended to rise when S&P 500 Index fell (downside capture of -1161.31%), but participation in market rallies was also limited (-139.66%) - a profile typical of counter-cyclical assets.
- Beta of -3.50 may look defensive, but with R2 of 0.47 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 0.47 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
- 106.67%
- Beta
- -3.50
- R²
- 0.47
- Upside Capture
- -139.66%
- Downside Capture
- -1,161.31%
Return for Risk
Risk / Return Rank
^VXN ranks 32 for risk / return — below 32% 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 NASDAQ 100 Voltility Index (^VXN) and compare them to S&P 500 Index.
| ^VXN | Benchmark | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.59 | ||
| Sortino ratioReturn per unit of downside risk | -1.35 | ||
| Omega ratioGain probability vs. loss probability | 1.16 | 1.36 | -0.20 |
| Calmar ratioReturn relative to maximum drawdown | 0.89 | 2.69 | -1.80 |
| Martin ratioReturn relative to average drawdown | 1.67 | 12.34 | -10.68 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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 NASDAQ 100 Voltility 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 NASDAQ 100 Voltility Index was 87.50%, occurring on Mar 20, 2017. The portfolio has not yet recovered.
The current CBOE NASDAQ 100 Voltility Index drawdown is 63.06%.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
2017 bear market2017 | -87.50%Mar 2017 | 15y 6mo | — | 24y 8moSep 2001 - now |
Dot-com crash2000–2002 | -45.00%Jul 2001 | 2mo 8d | 2mo 20d | 4mo 28dApr 2001 - Sep 2001 |
Dot-com crash2000–2002 | -16.63%Apr 2001 | 3d | 12d | 15dApr 2001 - Apr 2001 |
Dot-com crash2000–2002 | -13.99%Mar 2001 | 22d | 10d | 1mo 2dMar 2001 - Apr 2001 |
Dot-com crash2000–2002 | -4.78%Feb 2001 | 1d | 3d | 4dFeb 2001 - Feb 2001 |
Drawdown Indicators
| ^VXN | Benchmark | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -87.50% | -56.78% | -30.72% |
Max Drawdown (1Y)Largest decline over 1 year | -47.43% | -9.10% | -38.33% |
Max Drawdown (3Y)Largest decline over 3 years | -61.32% | -18.90% | -42.42% |
Max Drawdown (5Y)Largest decline over 5 years | -67.20% | -25.43% | -41.77% |
Max Drawdown (10Y)Largest decline over 10 years | -83.03% | -33.92% | -49.11% |
Current DrawdownCurrent decline from peak | -63.06% | -2.97% | -60.09% |
Average DrawdownAverage peak-to-trough decline | -69.40% | -10.72% | -58.68% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 25.20% | 1.97% | +23.23% |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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