Statistics of VIX Price Movement (1990 – 2020)

The VIX Index is a measure of 30-day expected volatility of the U.S. stock market. It is calculated using real-time prices of S&P 500 Index (CBOE ticker SPX) options. Investors and traders use the VIX to gauge the risk and fear in the stock market. The following tables show the statistics of VIX closing prices based on its 30 years of trading history. A number of observations can be made:

  • The closing price of VIX fluctuated between 9 and 82. (Table 1)
  • The average closing price was 19.5.
  • VIX closed above 20 in 2,900 trading days (37.3% of the time). It closed above 40 in 204 trading days (2.6% of the time). Only 3 times in 30 years VIX closed above 80. (Table 2)
VIX Close Price# Days % of Total Days
9 68
0.9%
10 201
2.6%
11 528
6.8%
12 716
9.2%
13 634
8.2%
14 539
6.9%
15 506
6.5%
16 520
6.7%
17 418
5.4%
18 367
4.7%
19 375
4.8%
20 362
4.7%
21 325
4.2%
22 303
3.9%
23 242
3.1%
24 265
3.4%
25 201
2.6%
26 151
1.9%
27 147
1.9%
28 134
1.7%
29 103
1.3%
30 78
1.00%
31 96
1.24%
32 55
0.71%
33 56
0.72%
34 38
0.49%
35 34
0.44%
36 39
0.50%
37 24
0.31%
38 22
0.28%
39 21
0.27%
40 22
0.28%
41 18
0.23%
42 20
0.26%
43 21
0.27%
44 11
0.14%
45 16
0.21%
46 7
0.09%
47 7
0.09%
48 3
0.04%
49 5
0.06%
50 3
0.04%
51 1
0.01%
52 5
0.06%
53 5
0.06%
54 5
0.06%
55 4
0.05%
56 3
0.04%
57 4
0.05%
58 2
0.03%
59 4
0.05%
60 2
0.03%
61 4
0.05%
62 2
0.03%
63 4
0.05%
64 1
0.01%
65 1
0.01%
66 4
0.05%
67 3
0.04%
68 1
0.01%
69 5
0.06%
70 1
0.01%
72 2
0.03%
74 1
0.01%
75 2
0.03%
76 1
0.01%
79 1
0.01%
80 2
0.03%
82 1
0.01%

Probability of VIX closes above threshold

From the Table 2 we see that VIX never closed below 9 in all 7,772 trading days. VIX closed above 20 in 37.3% of the time, above 40 in 2.6% of the time, and above 60 in 0.03% of the time. Only 3 times in 30 years (in 2008 and 2020) VIX closed above 80.

VIX Close Price# Days VIX above price % of Total Days
9 7,772
100.0%
10 7,704
99.1%
11 7,503
96.5%
12 6,975
89.7%
13 6,259
80.5%
14 5,625
72.4%
15 5,086
65.4%
16 4,580
58.9%
17 4,060
52.2%
18 3,642
46.9%
19 3,275
42.1%
20 2,900
37.3%
21 2,538
32.7%
22 2,213
28.5%
23 1,910
24.6%
24 1,668
21.5%
25 1,403
18.1%
26 1,202
15.5%
27 1,051
13.5%
28 904
11.6%
29 770
9.9%
30 667
8.6%
31 589
7.6%
32 493
6.3%
33 438
5.6%
34 382
4.9%
35 344
4.4%
36 310
4.0%
37 271
3.5%
38 247
3.2%
39 225
2.9%
40 204
2.6%
41 182
2.3%
42 164
2.1%
43 144
1.9%
44 123
1.6%
45 112
1.4%
46 96
1.2%
47 89
1.1%
48 82
1.1%
49 79
1.0%
50 74
0.95%
51 71
0.91%
52 70
0.90%
53 65
0.84%
54 60
0.77%
55 55
0.71%
56 51
0.66%
57 48
0.62%
58 44
0.57%
59 42
0.54%
60 38
0.49%
61 36
0.46%
62 32
0.41%
63 30
0.39%
64 26
0.33%
65 25
0.32%
66 24
0.31%
67 20
0.26%
68 17
0.22%
69 16
0.21%
70 11
0.14%
72 10
0.13%
74 8
0.10%
75 7
0.09%
76 5
0.06%
79 4
0.05%
80 3
0.04%
82 1
0.01%

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