This website uses cookies to collect usage information in order to offer a better browsing experience. By browsing this site or by clicking on the "ACCEPT COOKIES" button you accept our Cookie Policy.

Highly Unusual Volatility Indices


Chief Strategist at Interactive Brokers

I noticed recently that the VXN Index is trading at higher levels than the VIX Index.  This is highly unusual, and I think that it deserves some attention and explanation.

Most readers are familiar with the VIX Index, the Chicago Board Options Exchange (CBOE) Volatility Index, but some may not be familiar with its counterpart VXN, the CBOE NDX Volatility Index.  Where VIX is a measure of volatility expectations on the S&P500 (SPX) Index, VXN is similarly constructed to measure volatility expectations on the NASDAQ 100 Stock Index (NDX).

It would be normal to expect that the tech-heavy and top-heavy NDX would be more volatile than SPX, and that is correct most of the time.  As the middle left graph below shows, VIX exceeds VXN only rarely.  The last instance occurred during the volatility explosion (aka “volmaggedon”) that we saw in February 2018.

I attribute this disparity to the extreme demand for protection in this tumultuous environment, and traders seeking protection tend to gravitate to the more liquid VIX.  Also, we have seen some relative outperformance by NDX over SPX in recent sessions, meaning that the index is projecting lower volatility into the near future. 

This may be a fleeting observation, and could be related to tomorrow’s weekly expiry or next week’s quadruple witching expiration.  But it certainly bears examination while it lasts.

VXN March 12 2020

Source: Bloomberg

Disclosure: Interactive Brokers

The analysis in this material is provided for information only and is not and should not be construed as an offer to sell or the solicitation of an offer to buy any security. To the extent that this material discusses general market activity, industry or sector trends or other broad-based economic or political conditions, it should not be construed as research or investment advice. To the extent that it includes references to specific securities, commodities, currencies, or other instruments, those references do not constitute a recommendation by IBKR to buy, sell or hold such investments. This material does not and is not intended to take into account the particular financial conditions, investment objectives or requirements of individual customers. Before acting on this material, you should consider whether it is suitable for your particular circumstances and, as necessary, seek professional advice.

Disclosure: Futures Trading

Futures are not suitable for all investors. The amount you may lose may be greater than your initial investment. Before trading futures, please read the CFTC Risk Disclosure. A copy and additional information are available at

trading top