VIX to daily range: the divide-by-16 rule

3 min read · educational, not advice

The VIX is an annualised number. To turn it into something useful for a single session, divide by the square root of the number of trading days in a year. There are about 252, and the square root of 252 is very close to 16.

Why 16: there are about 252 trading days in a year and √252 ≈ 16.

Reading the table

A VIX of 16 implies a one-standard-deviation daily move of about 1%. On a 5,000 index that is roughly 50 points either way. A VIX of 32 doubles it. This is the same one-sigma band described in the expected move article, arrived at from a different direction.

One expected move is one standard deviation. Two is the outer band. Both are odds, not walls.

What it is good for

Two things. First, a sanity check: if a straddle implies a range far narrower than the VIX does, the straddle quote is probably stale. Second, a sense of proportion: a 40-point move on a VIX-12 day is a real move; the same 40 points on a VIX-30 day is noise. Sizing, patience and what counts as “extended” should all scale with it.

One-day VIX

There is also a one-day volatility index quoted for the S&P 500, which prices only the next session and is a better match for 0DTE trading than the 30-day VIX. The divide-by-16 rule works the same way on it.

Members

This is the public vocabulary. Members get the numbers every morning, the read that goes with them, and the tools that show how the day is developing.

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