The CBOE’s short-term volatility index, VIX9D, often gets attention for its quick reactions to near-term market stress — covering just the next nine calendar days of S&P 500 option pricing. In theory, it could act as an “early warning system” for the broader VIX, which reflects 30-day implied volatility.
But does the data actually support that idea?
We tested thousands of daily observations to see whether a rise in VIX9D while VIX declines predicts higher volatility ahead. The short answer: it doesn’t.
The Setup
Dataset: 3,083 trading days of VIX9D and VIX daily data
Condition: VIX9D up on the day, VIX down on the day
Frequency: Occurred only 130 times — just 4.2% of all days
So already, this divergence is rare. When it does happen, the market is usually reacting to short-dated event risk (like CPI, FOMC, or payrolls) that doesn’t spill over into the broader volatility term structure.
What Happens Next
👉 Statistically, that’s no edge. The next-day move is a coin flip, and even after five days the average drift is mild — around +2%, with median still under +1%.
What About Big VIX9D Spikes?
Instead of predicting volatility expansion, large front-end surges are typically false alarms.
They occur when traders hedge against near-term catalysts, driving up short-dated option premiums. Once the event passes, implied volatilities collapse, pulling both VIX9D and VIX lower.
Why the Relationship Fails
Different horizons of risk — VIX9D prices the next 9 days of uncertainty; VIX looks 30 days ahead. They reflect distinct parts of the volatility surface.
Term-structure coherence — Market-makers maintain a smooth curve; large dislocations are arbitraged out quickly.
Event-driven distortion — Front-end vol spikes ahead of scheduled events (CPI, FOMC, earnings), but the impact rarely lasts.
Empirical evidence — Even after 3- or 5-day lags, there’s no statistically significant lift in VIX.
Conclusion
The data show that VIX9D doesn’t lead VIX in any reliable or profitable way. New traders should ignore VIX9D as a standalone signal, focusing instead on more stable and meaningful volatility measures like VIX, VVIX, and the VIX futures curve.
Short-term divergences between the two are mostly noise, driven by temporary event hedging rather than structural volatility shifts. When VIX9D spikes without VIX following, it’s usually a short-term panic — not an indication of a selloff.
