Tag Archives: VIX
Rallies, Records and Relentless Restlessness: A Tale of Markets in 2025
As 2025 draws to a close, U.S. large caps boast impressive gains: after a rocky start that saw a 19% drawdown, the S&P 500® is up 18% including dividends, as of Dec. 12, significantly above its annualized total return of 10.8% since inception in 1957. The U.S. bellwether also recorded 37 all-time highs this year….
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The Market Measure: June 2025
Review a resurgent S&P 500, check in on the performance of trend-following equities, dig into two factor indices—the S&P 500 High Beta Index and S&P 500 Low Volatility Index—that took a very different route to the same destination, make a detour for a look at the performance of select international equities and find out what…
Duration Distress
We’ve written previously about the traditional sources of excess return for fixed income active managers, one of which is taking on higher term or interest rate risk. 2024 witnessed a sharp reversal in the excess returns from term risk, as long duration tilts that would have rewarded managers in 2023 hurt them in 2024. A…
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Shifting Tides: Concentration, Dispersion and the S&P 500 Risk Landscape
Since the 2010s, the dynamics of large-cap U.S. equity risks have shifted. Fifteen years ago, the market was dominated by cycles alternating between risk-taking and risk aversion, often referred to as a “risk-on/risk-off” dynamic. A key feature of this period was the higher correlation between stock and sector performance, especially during market downturns. Exhibit 1…
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A VIX for Single Stocks Is Alive and Ticking
For over 30 years, market participants have used the Cboe Volatility Index (VIX®) to gauge expectations for future volatility and measure short-term market sentiment. Today, VIX is a world-renowned measure that was linked to over USD 1 trillion in listed trading activity in 2023. However, it does not encompass all the risks in U.S. equities,…
Dispersion at All-Time High Relative to Volatility as Earnings Season Arrives
Despite a recent uptick to a more normal level near 16, the Cboe Volatility Index (VIX®) has averaged around just 12.8 over the past 30 trading days as of July 18, indicating relative calm in U.S. equities. Meanwhile, a complementary measure of U.S. equity market risk, the CBOE S&P 500® Dispersion Index (DSPX), has surged…
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Why Does the S&P 500 Matter to the Middle East?
Explore the expanding ecosystem of the iconic S&P 500 as S&P DJI’s Tim Edwards joins Cboe’s Sarju Gudka for a closer look at how and why market participants are putting the definitive gauge of U.S. large-cap equities to work in the Middle East.
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Tracking Potential Opportunities with Dispersion
Is it possible to track opportunity with an index? Find out as S&P DJI’s Tim Edwards and Cboe’s Mandy Xu discuss the design of and practical applications for the Cboe S&P 500 Dispersion Index.
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Happy Days for How Long?
With less than a month left to go to close out the year, it’s a good time to reflect on the highs and lows that market participants have experienced. While the year began with a rocky start due to the Silicon Valley Bank collapse, the market continued to power forward, stumbling in Q3 as 10-year…
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Introducing the Dispersion Index (DSPX)
At 9:45 am Eastern Time on Sept. 27, 2023, a new index began publishing under the ticker DSPXSM, with an initial live value of 26.81. This index, the Cboe S&P 500® Dispersion Index (the Dispersion Index to its friends), might be loosely described as a “VIX® for dispersion.” But what is it? Why is it…
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