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0
10
20
30
40
50
60
70
80
90
100
1990
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
2014
2015
2016
VIX
S&P 500 1M Trailing Volatility
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“…. as we know, there are known knowns; there are things we know we know. We
also know there are known unknowns; that is to say we know there are some
things we do not know. But there are also unknown unknowns – the ones we don’t
know we don’t know.”
- Donald Rumsfeld
Current Volatility
Environment
Historical Volatility Patterns
Expected News Flow
Unexpected News flow
“Tail Event” Intensity
Hist. Implied / Realized Premium
Current Dealer Inventories of
SPX vol
Other market positioning /
noise
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8
-5 -2.5 0 2.5 5 7.5
56789
10111213141516171819202122232425
Average change 30 days later
S&P 500 Realized
Volatility at start
0 0.25 0.5 0.75 1
56789
10111213141516171819202122232425
Probability of gain 30 days later
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9
R² = 0.9941
5
10
15
20
25
30
35
40
5 15 25 35 45 55
Vo
lati
lity,
1M
Su
bse
qu
en
t
Current Volatility by Percentile Band (5% intervals)
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10
0%
20%
40%
60%
80%
100%
120%
1896
1899
1902
1906
1909
1912
1915
1919
1922
1925
1928
1931
1934
1938
1941
1944
1947
1950
1953
1957
1960
1963
1966
1969
1972
1975
1979
1982
1985
1988
1991
1994
1997
2001
2004
2007
2010
2013
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0%
10%
20%
30%
40%
50%
60%
0% 10% 20% 30% 40% 50% 60% 70%
Rea
lized
Vo
l, 21
Day
s L
ater
Realized Vol, Current
1966 to 2016
1916 to 1966
•
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•
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0
10
20
30
40
50
60
70
80
90
100
199
1
199
2
199
3
199
4
199
5
199
6
199
7
199
8
199
9
200
0
200
1
200
2
200
3
200
4
200
5
200
6
200
7
200
8
200
9
201
0
201
1
201
2
201
3
201
4
201
5
201
6
VIX
S&P 500 1M Trailing Volatility
VIX, 1 Yr Trailing
S&P 500 1M Realized Vol, 1Yr Trailing
Difference
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•
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R² = 0.91 (excluding outlier)
0
50
100
150
200
250
300
350
400
0 200 400 600 800
Av
era
ge
P2
Realized Volatility2
15
•
𝑷𝟐= 𝑽𝑰𝑿𝟐 − 𝑹𝒁𝒎𝟐
• 𝑅𝑍𝑚
•
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0
5
10
15
20
25
30
35
40
45
50
0 5 10 15 20 25 30 35 40 45 50
Realized Volatility
Expected VIX
Mean Reversion
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•
•
Change in Realized versus (VIX - expected VIX)
Realized -6 to -4 -4 to -2 -2 to -1 -1 to 0 0 to 1 1 to 2 2 to 4 4 to 6
Less that 8 2.2 -0.5 -0.6 0.8 1.2 3.4 3.1 2.7
8 to 9 -0.2 -1.4 -0.4 0.2 1.5 1.6 1.7 4.1
9 to 10 -2.1 -0.6 0.3 0.4 1.3 0.5 2.3 2.7
10 to 12 -2.2 -1.4 -0.5 -0.4 -0.4 0.8 1.6 4.0
12 to 13 -3.1 -2.0 0.4 -0.4 -0.3 1.3 3.5 4.1
13 to 15 -4.6 -2.4 -1.7 -0.4 1.4 2.9 4.0 3.7
15 top 17 -5.0 -2.4 -1.5 0.9 -0.7 0.4 2.6 3.4
17 to 20 -3.6 -3.6 -2.8 -0.9 0.1 1.1 1.5 1.7
20 to 25 0.3 -2.0 0.6 2.2 1.4 0.4 2.5 3.4
more than 25 -3.8 -2.4 -1.5 1.4 -0.5 1.4 1.7 5.3
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•
•
-20.00
-15.00
-10.00
-5.00
0.00
5.00
10.00
15.00
20.00
25.00
Sep
201
3
Nov
201
3
Jan
2014
Mar
201
4
May
201
4
Jul 2
014
Sep
201
4
Nov
201
4
Jan
2015
Mar
201
5
May
201
5
Jul 2
015
Sep
201
5
Nov
201
5
Jan
2016
Mar
201
6
May
201
6
Jul 2
016
Sep
201
6
1M C
han
ge
Predicted change in realized volatility
Actual change in realized volatility
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21
U.S. Equity Index Commodity VIX® CBOE Volatility Index® OVX CBOE Crude Oil ETF Volatility Index
VXNSM CBOE NASDAQ Volatility Index GVZ CBOE Gold ETF Volatility Index
VXOSM CBOE S&P 100 Volatility Index VXSLV CBOE Silver ETF Volatility Index
VXDSM CBOE DJIA Volatility Index VXGDX CBOE Gold Miners ETF Volatility Index
RVXSM CBOE Russell 2000 Volatility Index VXXLE CBOE Energy Sector ETF Volatility Index
VXSTSM CBOE Short-Term Volatility Index
VXVSM CBOE 3-Month Volatility Index Currency VXMTSM CBOE Mid-Term Volatility Index EUVIX CBOE/CME FX Euro Volatility IndexSM
JYVIX CBOE/CME FX Yen Volatility IndexSM
Single Stock BPVIX CBOE/CME FX British Pound Volatility IndexSM
VXAZN CBOE Equity VIX® on Amazon EVZ CBOE EuroCurrency ETF Volatility Index
VXAPL CBOE Equity VIX® on Apple
VXGS CBOE Equity VIX® on Goldman Sachs Ex-U.S. Equity VXGOG CBOE Equity VIX® on Google VXEFA CBOE EFA ETF Volatility Index
VXIBM CBOE Equity VIX® on IBM VXEEM CBOE Emerging Markets ETF Volatility Index
VXFXI CBOE China ETF Volatility Index
Rates VXEWZ CBOE Brazil ETF Volatility Index
TYVIX CBOE/CBOT 10-year U.S. Treasury Note Volatility Index SP51VIX S&P/ASX 200 VIX
SRVIX CBOE Interest Rate Swap Volatility Index V2X VSTOXX
SPJGBV S&P/JPX JGB VIX VHSI Hang Seng Volatility Index
VIXC S&P/TSX 60 Volatility Index
Volatility VVIX CBOE VIX of VIX Index
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•
0
5
10
15
20
25
30
35
40
45
50
0 10 20 30 40 50 60
Ave
rag
e R
V, 3
0 d
ays
late
r
Realized Volatility (5%ile Average)
R2 = 0.99
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•
0
100
200
300
400
500
600
700
0 500 1000 1500 2000 2500
VIX
Pre
miu
m t
o M
ean
Rev
ersi
on
2
Realized Volatility (5%ile Average)
R2 = 0.82
2
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•
0
5
10
15
20
25
30
35
40
0 5 10 15 20 25 30 35 40 45 50
Ave
rag
e R
V, 3
0 d
ays
late
r
Realized Volatility (5%ile Average)
R2 = 0.98
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25
•
0
100
200
300
400
500
600
700
0 200 400 600 800 1000 1200 1400 1600
VIX
Pre
miu
m t
o M
ean
Rev
ersi
on
2
Realized Volatility (5%ile Average)
R2 = 0.86
2
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•
0
10
20
30
40
50
60
70
80
0 10 20 30 40 50 60 70 80 90
Ave
rag
e R
V, 3
0 d
ays
late
r
Realized Volatility (5%ile Average)
R2 = 0.97
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•
0
200
400
600
800
1000
1200
1400
1600
1800
0 1000 2000 3000 4000 5000
VIX
Pre
miu
m t
o M
ean
Rev
ersi
on
2
Realized Volatility (5%ile Average)
R2 = 0.82
2
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•
0
1
2
3
4
5
6
7
0 1 2 3 4 5 6 7 8
Ave
rag
e R
V, 3
0 d
ays
late
r
Realized Volatility (5%ile Average)
R2 = 0.95
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•
2
0
2
4
6
8
10
12
0 5 10 15 20 25 30 35 40
VIX
Pre
miu
m t
o M
ean
Rev
ersi
on
2
Realized Volatility (5%ile Average)
R2 = 0.80
2
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30
•
0
20
40
60
80
100
120
140
160
180
200
0 50 100 150 200 250 300
VIX
Pre
miu
m t
o M
ean
Rev
ersi
on
2
Realized Volatility (5%ile Average)
R2 = 0.90
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•
0
2
4
6
8
10
12
14
16
0 5 10 15 20 25
Ave
rag
e R
V, 3
0 d
ays
late
r
Realized Volatility (5%ile Average)
R2 = 0.86
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•
0
20
40
60
80
100
120
140
0 50 100 150 200 250
Ave
rag
e R
V, 3
0 d
ays
late
r
Realized Volatility (5%ile Average)
R2 = 0.32
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•
2 2
-5000
-4500
-4000
-3500
-3000
-2500
-2000
-1500
-1000
-500
0
0 2000 4000 6000 8000 10000 12000 14000 16000 18000
VIX
Pre
miu
m t
o M
ean
Rev
ersi
on
2
Realized Volatility (5%ile Average)
R2 = 0.00
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•
•
•
•
•
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-
-
-
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80%
85%
90%
95%
100%
105%
110%
115%
120%
125%
130%
28
-Se
p-0
1
02
-Oct
-01
06
-Oct
-01
10
-Oct
-01
14
-Oct
-01
18
-Oct
-01
22
-Oct
-01
26
-Oct
-01
30
-Oct
-01
Pri
ce R
etu
rn
Dow Jones Industrial Average -October 2001
80%
85%
90%
95%
100%
105%
110%
115%
120%
125%
130%
29
-No
v-1
3
03
-De
c-1
3
07
-De
c-1
3
11
-De
c-1
3
15
-De
c-1
3
19
-De
c-1
3
23
-De
c-1
3
27
-De
c-1
3
31
-De
c-1
3
... and December 2013
Source: S&P Dow Jones Indices. For illustrative purposes only. Past performance is no guide to future performance
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0%
15%
30%
45%
60%
75%
Jan-9
1
Jan-9
2
Jan-9
3
Jan-9
4
Jan
-95
Jan-9
6
Jan-9
7
Jan-9
8
Jan-9
9
Jan-0
0
Jan-0
1
Jan-0
2
Jan-0
3
Jan-0
4
Jan-0
5
Jan
-06
Jan-0
7
Jan-0
8
Jan-0
9
Jan-1
0
Jan
-11
Jan-1
2
Jan-1
3
Jan-1
4
Jan-1
5
Jan-1
6
S&P 500® 1-Month Dispersion(Annualized)
VIX® (Month Average)
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0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
10
12
14
16
18
20
22
24
29 J
ul
03 A
ug
08 A
ug
11 A
ug
16 A
ug
19 A
ug
24 A
ug
29 A
ug
01 S
ep
07 S
ep
12 S
ep
15 S
ep
20 S
ep
23 S
ep
28 S
ep
03 O
ct
06 O
ct
11 O
ct
14 O
ct
19 O
ct
24 O
ct
27 O
ct
01 N
ov
04 N
ov
09 N
ov
14 N
ov
S&P 500 Absolute Daily Change (%, Right Axis)
VIX (Left Axis)
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0.0%
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
3.5%
10
12
14
16
18
20
22
24
29 J
ul
03 A
ug
08 A
ug
11 A
ug
16 A
ug
19 A
ug
24 A
ug
29 A
ug
01 S
ep
07 S
ep
12 S
ep
15 S
ep
20 S
ep
23 S
ep
28 S
ep
03 O
ct
06 O
ct
11 O
ct
14 O
ct
19 O
ct
24 O
ct
27 O
ct
01 N
ov
04 N
ov
09 N
ov
14 N
ov
S&P 500 1-Day Dispersion
VIX (Left Axis)
40
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41
-
-
-
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-
-
-
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𝑀𝑎𝑟𝑘𝑒𝑡 𝐼𝑚𝑝𝑎𝑐𝑡 𝑀𝐼 = 𝐾 𝑉
𝑽
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•
•
•
-
-
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0
0.05
0.1
0.15
0.2
0.25
0.3D
ec 1
996
Dec
199
7
Dec
199
8
Dec
199
9
Dec
200
0
Dec
200
1
Dec
200
2
Dec
200
3
Dec
200
4
Dec
200
5
Dec
200
6
Dec
200
7
Dec
200
8
Dec
200
9
Dec
201
0
Dec
201
1
Dec
201
2
Dec
201
3
Dec
201
4
Dec
201
5
$ Tr
illio
n (
60-d
ay A
DV
)
S&P 500 Index (Top 2 futures + Top 6 ETFs
S&P 500 constituents (aggregate)
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0%
50%
100%
150%
200%
250%
300%
350%
400%
Jan2000
Jan2001
Jan2002
Jan2003
Jan2004
Jan2005
Jan2006
Jan2007
Jan2008
Jan2009
Jan2010
Jan2011
Jan2012
Jan2013
Jan2014
Jan2015
Jan2016
Index-Weighted Average Stock Iliquidity (21D trailing percentage of period average)
Index Illiquidity (21D trailing percentage of period average)
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49
0.00
15.00
30.00
45.00
60.00
75.00
90.00
0%
50%
100%
150%
200%
250%
300%
Jan2000
Jan2001
Jan2002
Jan2003
Jan2004
Jan2005
Jan2006
Jan2007
Jan2008
Jan2009
Jan2010
Jan2011
Jan2012
Jan2013
Jan2014
Jan2015
Jan2016
Index-Weighted Average Stock Liquidity (21D trailing percentage of period average)
VIX (Right Axis)
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50
•
•
•
•
•
•
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VIX premium to expected
Realized Volatility -6 to -4 -4 to -2 -2 to -1 -1 to 0 0 to 1 1 to 2 2 to 4 4 to 6
Less that 8 11 205 221 128 65 34 41 13
8 to 9 10 176 96 72 44 22 35 10
9 to 10 37 199 94 76 71 42 37 18
10 to 12 96 261 146 159 156 83 115 49
12 to 13 58 72 41 44 38 38 67 34
13 to 15 111 145 97 75 103 63 98 36
15 top 17 78 109 78 77 67 53 85 67
17 to 20 36 92 62 83 68 65 130 71
20 to 25 60 120 53 72 62 53 90 65
more than 25 98 86 37 40 33 51 62 42
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All information presented prior to the launch date is back-tested. Back-tested
performance is not actual performance, but is hypothetical. The back-test calculations are based on the same methodology that was in effect when the index was
officially launched. Complete index methodology details are available at www.spdji.com. It is not possible to invest directly in an index.
S&P Dow Jones Indices defines various dates to assist our clients in providing transparency on their products. The First Value Date is the first day for which there
is a calculated value (either live or back-tested) for a given index. The Base Date is the date at which the Index is set at a fixed value for calculation purposes. The
Launch Date designates the date upon which the values of an index are first considered live: index values provided for any date or time period prior to the index’s
Launch Date are considered back-tested. S&P Dow Jones Indices defines the Launch Date as the date by which the values of an index are known to have been
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made to the index methodology, but that may have been prior to the Index’s public release date.
Past performance of the Index is not an indication of future results. Prospective application of the methodology used to construct the Index may not result in
performance commensurate with the back-test returns shown. The back-test period does not necessarily correspond to the entire available history of the Index.
Please refer to the methodology paper for the Index, available at www.spdji.com for more details about the index, including the manner in which it is rebalanced,
the timing of such rebalancing, criteria for additions and deletions, as well as all index calculations.
Another limitation of using back-tested information is that the back-tested calculation is generally prepared with the benefit of hindsight. Back-tested information
reflects the application of the index methodology and selection of index constituents in hindsight. No hypothetical record can completely account for the impact of
financial risk in actual trading. For example, there are numerous factors related to the equities, fixed income, or commodities markets in general which cannot be,
and have not been accounted for in the preparation of the index information set forth, all of which can affect actual performance.
The Index returns shown do not represent the results of actual trading of investable assets/securities. S&P Dow Jones Indices LLC maintains the Index and
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fees an investor may pay to purchase the securities underlying the Index or investment funds that are intended to track the performance of the Index. The
imposition of these fees and charges would cause actual and back-tested performance of the securities/fund to be lower than the Index performance shown. As a
simple example, if an index returned 10% on a US $100,000 investment for a 12-month period (or US $10,000) and an actual asset-based fee of 1.5% was
imposed at the end of the period on the investment plus accrued interest (or US $1,650), the net return would be 8.35% (or US $8,350) for the year. Over a three
year period, an annual 1.5% fee taken at year end with an assumed 10% return per year would result in a cumulative gross return of 33.10%, a total fee of US
$5,375, and a cumulative net return of 27.2% (or US $27,200).
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General Disclaimer
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