VIX (Chicago Board Options Exchange Volatility Index) is a measure of expected volatility in the S&P 500, as measured by options trading (both puts and calls) in the S&P 500 index. A high number implies that traders are expected a larger change (volatility) in the market during the upcoming options periods. VIX is measured in percentage points, and implies that traders, based on their options trades, are expecting the S&P 500 to move by that many percentage points (annualized), in the next 30 day period.

For example, a VIX quotation of 20 indicates that traders are expecting the S&P 500 to move (either up or down) by an annualized rate of 20% over the next 30 days. A higher number indicates traders are anticipating more volatility in the near future.