volatility
VIX to Daily Move
Converts the VIX (annualized expected volatility of S&P 500) to an expected daily percentage move.
Formula
Daily Move = VIX / √252
Variables
- VIX
- CBOE Volatility Index (annualized, %)
- 252
- Trading days per year
- Daily Move
- Expected daily % move (1σ)
Worked Example
Inputs
- VIX
- 20
Calculation Steps
- 1
Daily = 20 / √252 - 2
Daily = 20 / 15.875 = 1.26% - 3
For S&P at 5000: ±$63 daily (68% confidence)
Result: Expected daily move ≈ 1.26% or ±63 points on S&P 5000
Intuition
VIX at 15 = calm market (~0.95%/day). VIX at 30 = nervous market (~1.9%/day). VIX at 50+ = crisis mode (~3.2%/day). Quickly dividing VIX by 16 (≈√252) gives you the approximate daily expected move.