What is VIX Velocity?
EMA-based rate-of-change of VIX — how fast risk is repricing right now.
Definition
VIX velocity is the percentage change of current VIX vs an exponentially-weighted moving average of recent prints (default 1-hour window). Positive velocity = risk repricing higher; negative = vol crush. Magnitude is the signal: ±2% is noise, ±5% is meaningful, ±10%+ is regime-changing.
Why it matters for trading
- VIX *level* tells you the standing fear. Velocity tells you whether the fear is being reset right now — that's the actionable bit for execution timing.
- Spike velocity precedes liquidations. When VIX runs from 18 → 22 in 30 minutes, dealer gamma hedging kicks in and amplifies the SPX move; instruments correlated to SPX inherit the cascade.
- A negative velocity day after a positive cluster (vol crush) is often the signal to reload risk-on positions. Mean-reversion in VIX is real because realised volatility usually undershoots implied.