Seonglae ChoVolatility index
공포지수
A numerical representation of how widely the S&P500 index is distributed one month later as predicted by people. It is also called the fear index because it rises when the stock market falls rapidly. If market participants all think about a similar future, everyone will want to trade at similar prices, so the VIX will decrease. In other words, VIX is similar to standard deviation.
While it's possible to achieve excess returns when the VIX is high, there are also advantages to investing when the VIX is low. This is because the 'return on volatility' increases. In other words, you can earn the same 10% return more comfortably (experiencing lower volatility) when the VIX is low.
Looking at the monthly average value of the VIX and the distribution of the S&P500 index's return relative to volatility, there is a clear negative correlation between the two.
