Historical Volatility (HV) measures how much the price of a security fluctuates over time, indicating the level of risk associated with that asset. It is calculated using the standard deviation of past price changes, helping investors understand the price movement relative to its average.
Weighted Moving Average (WMA) is a statistical calculation that gives more importance to recent data points while averaging, making it more responsive to changes than a simple moving average.
Volatility Trading Strategies has a definition of
Simple VRP
and
Traders VRP.
VIX Futures are financial contracts traded on the CBOE Futures Exchange that allow investors to speculate on or hedge against future volatility of the S&P 500 Index. VIX futures are agreements to buy or sell the value of the VIX at a specific price on a future date.
Contango occurs when futures prices are higher than the spot price, Backwardation occurs when futures prices are lower.
VIX Futures Term Structure can be seen on https://VolChart.io.
1-page explainer from Eli Mintz.
CONTANGO+48.61%
Per Period 10.52%, Pairwise: 23.79%, Pairs: 100.00%
26.9300 (+0.94%)
Friday, 15 May 2026
15.9300 (+0.06%)
Friday, 15 May 2026
Tuesday, 19 May 2026 - Monthly VIX Expiration
0.9716 (PR 79.6%)
0.8865 (PR 49.6%)
0.8571 (PR 48.03%)
0.7855 (PR 50.8%)
0.7591 (PR 57.87%)
If VIX9D > VIX: Short-term volatility (next 9 days) is expected to be higher than the 30-day average, often signaling near-term market stress or upcoming events.
If VIX9D < VIX: Short-term volatility is expected to be lower, suggesting a calmer near-term market relative to the 30-day outlook.
In statistics, the Percentile Rank (PR) of a given score is the percentage of scores in its frequency distribution that are less than that score.
If the number is smaller than the smallest over the previous year (in this case), the PR is 0%, or if it is larger than the largest over the previous year (in this case), the PR is 100%.
PR of volatility metrics is a good indicator of market risk - see the Cash VIX Term Structure explained by Brent Osachoff. We are using a 1-Year PR here for reference.
Date
Symbol
Name
Value
Δ
Δ%
Filtered
Action
Fri, 15 May '26 16:00
VOLI
Nations VolDex
15.2338
+0.2438
1.63
Fri, 15 May '26 17:30
VVIX
CBOE Vix Volatility
92.59
-0.35
0.38
Fri, 15 May '26 17:30
VIX1D
CBOE S&P 500 1-Day Volatility Index
15.71
-1.04
6.21
Fri, 15 May '26 17:30
VIX9D
CBOE S&P 500 9-Day Volatility Index
16.17
-0.2
1.22
Fri, 15 May '26 17:30
VIX
CBOE S&P 500 30-Day Volatility Index
18.24
-0.19
1.03
Fri, 15 May '26 17:30
VIX3M
CBOE S&P 500 3-Month Volatility Index
21.28
-0.08
0.37
Fri, 15 May '26 17:30
VIX6M
CBOE S&P 500 6-Month Volatility Index
23.22
-0.03
0.13
Fri, 15 May '26 17:30
VIX1Y
CBOE S&P 500 1-Year Volatility Index
24.03
+0.08
0.33
Date
Symbol
Name
Value
Δ
Δ%
Filtered
Action
Increased volatility in the stock market generally leads to wider price swings, but its effect on stock prices isn't uniform and depends on context. Higher volatility often signals greater uncertainty, which can spook investors, leading to sell-offs and downward pressure on prices, especially for riskier stocks. For example, during market shocks like geopolitical events or economic data surprises, heightened volatility tends to correlate with declining stock prices as fear dominates.
