Sub-Vertical · Volatility Index
The VIX — Volatility Index
The VIX is the CBOE Volatility Index — often called the "fear gauge." It measures the market's expectation of 30-day S&P 500 volatility derived from options pricing. A rising VIX means investors are paying more for protection against sudden market moves. A falling VIX signals calm. Understanding the VIX means understanding how the market is pricing uncertainty itself — not just direction.
What it covers
The VIX is calculated from the implied volatility of S&P 500 options across a range of strike prices and expiration dates. GenHedge tracks: the spot VIX level, the VIX futures term structure (contango vs. backwardation — how futures-priced volatility compares to spot), VVIX (the volatility of the VIX itself), and put/call ratios as a complementary sentiment measure. VIX is a sub-vertical of Macro — it measures the volatility of the macro environment, not a standalone asset.
What moves it
The VIX rises when investors buy put options for portfolio protection — usually during rapid market selloffs, geopolitical shocks, or Fed uncertainty. It's mean-reverting by nature: extreme VIX spikes rarely persist because implied volatility almost always overshoots realized volatility in a crisis. The VIX term structure matters: contango (futures above spot) is the normal state; backwardation (futures below spot) signals acute near-term fear.
Key terms
Implied Volatility
The market's expectation of future price swings, derived from options pricing. When traders pay more for options (puts or calls), implied volatility rises — even if the underlying hasn't moved.
VIX Term Structure
A curve of VIX futures prices across different expiration dates. Contango (upward sloping) is normal — near-term calm expected. Backwardation (downward sloping) signals acute near-term fear.
Mean Reversion
The VIX tends to return to its historical average (~20) after spikes. Extreme readings above 40 have historically been followed by recoveries — though timing the mean reversion is not a strategy.
Put/Call Ratio
The ratio of put options (bets on decline) to call options (bets on rise) traded in a given period. A high ratio signals fear and hedging demand. A low ratio signals complacency.
VVIX
The volatility of the VIX itself — sometimes called the 'vol of vol.' Spikes in VVIX ahead of VIX spikes can signal that institutional players are positioning for a volatility event.
In the newsletter
VIX is tracked as a sub-vertical of Macro. In the newsletter, VIX levels appear in the macro context section when they're elevated or making notable moves. A VIX above 30 changes the interpretation of every other signal — it tells you the market is pricing in significant uncertainty, which affects how you read equities, bonds, and commodities simultaneously.
VIX is in every issue.
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