VIX (Volatility Index)
The CBOE Volatility Index measuring expected 30-day SPX volatility — the market's "fear gauge" and key input to session classification.
The VIX (CBOE Volatility Index) represents the market's expectation of 30-day annualized volatility for the S&P 500. It's derived from SPX option prices and is widely known as the market's "fear gauge."
VIX regimes and session classification:
- ●VIX < 15: Low volatility — favors Balanced Day and Volatility Compression sessions
- ●VIX 15-20: Normal volatility — all session types possible
- ●VIX 20-25: Elevated — increased probability of Trend Day and Short Covering Rally
- ●VIX 25-35: High — Expansion Day probability rises sharply
- ●VIX > 35: Crisis — extreme moves expected, all structures need maximum width
SPXXL uses VIX as a primary input for session classification, but with nuance:
- ●VIX level (absolute) sets the baseline regime
- ●VIX change (direction) signals momentum in fear/complacency
- ●VIX term structure (VIX vs. VIX futures) indicates whether fear is immediate or deferred
- ●VIX vs. realized vol spread shows whether options are overpriced (opportunity to sell) or underpriced (danger)
For 0DTE traders, VIX directly impacts:
- ●Premium levels — higher VIX = more expensive options = wider spreads needed
- ●Range expectations — higher VIX = wider expected daily range
- ●Theta decay rate — higher VIX options decay faster in absolute terms
- ●Structure selection — high VIX sessions need wider wings for safety
Related Terms
The implied volatility of at-the-money SPX options — reflects the market's real-time pricing of expected movement for the current session.
A volatile session with range expansion beyond normal boundaries — often triggered by macro catalysts or institutional repositioning.
The aggregate Gamma positioning of options market makers — determines how dealer hedging amplifies or dampens SPX price moves.
A session where price oscillates around a central value area with no directional conviction — the most common session type for SPX.