Deep dive: VIX-VOLI Spread

One piece of the VIX Mix that warrants attention.

You might recognize this chart from last Thursday if you follow Vixologist on X/Twitter. Here’s the explainer. VIX measures 30-day volatility expectations for the S&P 500 (SPX) based on put and call option prices for a wide range of strike prices (visit cboe.com for the whitepaper). VOLI is a similar idea but targets at-the-money option values that are just part of the VIX calc. If we subtract VOLI from VIX, the spread represents that piece of VIX attributable to out-of-money options. A narrow spread suggests that investors don’t foresee big moves for SPX. A wider spread indicates that investors are positioning for larger moves. What we see in the chart is that the VIX-VOLI spread jumped with the August volatility spike and has remained elevated. It’s only one component of the VIX Mix, but it says “pay attention.”