Volatility (Seasonal)

The Seasonality of $VIX

Posted on July 31, 2017 - 12:11pm

By Lawrence G. McMillan

We have often talked about the seasonality of $VIX in past issues (although not for a while). Figure 5 shows the Composite $VIX for a year. A composite chart is constructed in a simple manner:

1) average the $VIX for the first trading day of the year and plot it

2) repeat the procedure for each successive trading day of the year

Past performance is not necessarily indicative of future results.
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