The CBOE Volatility Index (VIX) as a Predictor of S&P 500 Volatility and Returns

Open Access
Gillooly, Sean Ryan
Area of Honors:
Bachelor of Science
Document Type:
Thesis Supervisors:
  • James Alan Miles, Thesis Supervisor
  • James Alan Miles, Honors Advisor
  • Dr J Randall Woolridge, Faculty Reader
  • VIX
  • CBOE
  • Volatility
  • S&P 500
In this thesis, the relationship between the CBOE Volatility Index (VIX) and the S&P 500, the barometer for the stock market, from which the VIX is derived, is explored. As periods of stock market crashes such as the .com bubble or Financial Crisis have shown, rising volatility and falling stock prices are the norm. With this basic relationship in mind, this thesis looks to analyze how effective the VIX is in forecasting expected volatility of the S&P 500 in addition to assessing the relationship between the VIX and returns on the S&P 500.