The S&P500 "Fear Index" closed at all time highs this week as volatility across assets remain near historic highs

Quick Take

  • The CBOE Volatility Index (VIX) has eclipsed some of the highest levels set in 2008
  • The five-day rolling average of the so-called Fear Index is above highs of 2008.

The CBOE Volatility Index (VIX), also known as the "Fear Index," has now surpassed and sustained some of the highest levels set in 2008. Interpreted as a measure of 30-day forward expectation of volatility in the S&P500 index, the VIX traded above the 83 handle this week and closed at all time highs on Monday, according to FactSet. 

Source: The Block, FactSet

The 5-day rolling average of the VIX is also now above highs set in 2008.

Source: The Block, FactSet

As forward expectations of volatility within the S&P500 remain at historic levels, annualized 30-day realized volatility has also jumped across asset classes this week, including bitcoin. Even traditionally perceived safe-haven assets such as gold and U.S. treasuries haven't been spared from this new volatility regime.

Source: The Block, FactSet

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