VIX

The VIX (CBOE Volatility Index) measures the market's expectation of 30-day volatility in the S&P 500, derived from the implied volatilities of options contracts. It is published continuously by the Chicago Board Options Exchange.

What it measures

The VIX doesn't measure realized volatility — what has happened. It measures implied volatility — what options traders are pricing in for the next 30 days.

When investors buy options as protection (puts) or as a bet on large moves (calls), they push implied volatility higher, which pushes the VIX higher.

Typical levels

| VIX | Interpretation | |-----|---------------| | < 15 | Low volatility, market complacent | | 15–20 | Normal range | | 20–30 | Elevated stress | | 30–40 | Significant fear | | > 40 | Extreme stress (crisis territory) |

During the August 2024 carry trade unwind, the VIX briefly reached 65.73 — its highest level since the COVID crash in March 2020.

VIX in carry trade monitoring

A rising VIX is a supporting signal for carry trade stress, but not the primary one. Japanese carry traders tend to hold long positions in global equities — when they unwind, they sell equities, which pushes implied volatility up.

The causality often runs: carry unwind → equity selling → VIX spike, not the other way around. This is why The Glitch uses VIX as a corroborating signal with a relatively modest weight in the composite score, not as a leading indicator.

Related

• JPY Implied Volatility — more directly relevant to carry trade stress
• Nikkei underperformance — the Japanese equity signal
• The Yen Glitch methodology →