On October 5, 2026 the VIX closed at 15.52. Over the decade to 2026, on S&P 500 days down 3% or more, it rose by an average of 7.3 points in a single session, about a quarter of its level. In April 2025 it went from the low 20s to a close of 52.33 in under a week; in March 2020 it closed at 82.69. A hedge tied to that jump can pay many times its cost. Whether it does depends on details most buyers miss. If you need a refresher on the index itself, start with VIX volatility regimes.
What are VIX calls?
VIX calls are options that gain value when the market’s expected volatility rises. The VIX measures the 30-day volatility implied by S&P 500 option prices, and it tends to jump when stocks fall sharply.
A VIX call with a strike of 25 pays the amount by which the VIX settlement value exceeds 25 at expiry, times a $100 multiplier. If the VIX settles at 40, each contract pays $1,500. Because the VIX and the S&P 500 usually move in opposite directions, a long VIX call behaves like a hedge on the stock market. Unlike a put, it pays on the speed and fear of a decline rather than its size.
How high does the VIX go in a crash?
In every major selloff since 2008 the VIX has closed above 30, and in three it closed above 50. The level it starts from matters as much as the peak: the move from 15 to 35 is what a hedge captures.
The spikes have different shapes. The 2020 and 2025 episodes were sudden: the VIX more than doubled within days. The 2022 bear market was a grind: the S&P 500 fell more than 25% peak to trough, yet the VIX never closed above 36.45. That difference is the key to when VIX calls work. They are a hedge against panic, not against a slow repricing of stocks.
How are VIX options priced?
VIX options are priced off the VIX futures contract that expires on the same date, not the spot VIX you see quoted on screens. This is the most common misunderstanding about them.
- Contango. In calm markets, VIX futures usually trade above the spot index, because volatility tends to revert up from low levels. With spot at 15.52, a two-month future might trade in the high teens. A 25-strike call needs that future, not the spot index, to move above 25.
- Futures move less than spot. When spot jumps from 15 to 45, futures one or two months out typically rise less, because the market expects the spike to fade.
- Volatility of volatility. VIX options carry very high implied volatility, often 80% to 150%, so out-of-the-money calls are cheap per contract but lose value quickly.
- Settlement. VIX options are European style, cash-settled against a special opening quotation of the VIX on expiration morning, usually a Wednesday. Full terms are in Cboe’s VIX options specifications.
Buying calls because “the VIX is at 15 and always spikes eventually” ignores that you are paying for the future, not the spot, and that each month without a spike costs most of the premium. A year of monthly calls bought in a calm market can easily lose 80%–100% of what you spent.
Are VIX calls better than S&P 500 puts?
VIX calls can return more per dollar in a sudden crash, but S&P 500 puts pay more reliably across all kinds of decline. Which is better depends on the crash you are insuring against.
In our illustrative example, $10,000 of premium buys a 60-day VIX 25 call or a 60-day S&P 500 put 10% out of the money. If the S&P 500 falls 15% in 20 trading days and the VIX future jumps to 35, both hedges multiply in value: the put to roughly $148,000 and the call to roughly $75,000 in this example. In a calm month both lose more than 80%. The outcome depends heavily on how far the VIX futures move, so the same crash can give very different results.
| Feature | VIX calls | SPX puts |
|---|---|---|
| Pays on | Rise in expected volatility (futures) | Fall in the index below the strike |
| Best in | Fast, panicky crashes | Any decline past the strike |
| Exercise style | European, cash-settled | European, cash-settled |
| Expiry | Usually Wednesdays | Daily, including Fridays |
| Tax (US) | Section 1256, 60/40 | Section 1256, 60/40 |
How much should you spend on VIX calls?
Keep VIX calls to a small, fixed budget, typically 1% of the portfolio a year or less, and treat them as one layer of a broader hedge.
The best-known benchmark is Cboe’s VIX Tail Hedge Index (VXTH), which holds the S&P 500 plus a small allocation to one-month out-of-the-money VIX calls, with the allocation varying by the level of VIX futures. The design reflects two lessons: spend little each month, and spend less when volatility is already high and calls are expensive. A $5 million portfolio might spend $3,000–$4,000 a month on VIX calls alongside a larger index put or put-spread hedge.
How do you buy and manage VIX calls?
Buy one- to three-month calls 30%–60% above the relevant VIX future, in tranches, when the VIX is low, and decide in advance when to sell.
- Check the futures curve, not just spot. Strike selection is relative to the future for your expiry.
- Prefer buying when the VIX is below about 18; protection costs more in every way once it is above 25.
- Stagger expiries so you always own calls with at least a few weeks left.
- Sell part of the position into a spike, for example when calls are worth three to five times their cost, or when the VIX closes above 35.
- Track the cost as an insurance premium, not a trade. Most months it should lose money.
Sell into the spike. VIX spikes reverse quickly: from 82.69 on March 16, 2020 the VIX was back below 50 within three weeks. A hedge that isn’t monetized near the peak often gives most of its gain back.
What Greeks matter for a VIX call?
Three matter most. Delta to the VIX future tells you how much the call gains per point the future rises. Theta is large and negative, because short-dated, out-of-the-money options decay fastest. Vega, here the sensitivity to volatility of volatility, lifts calls in a panic as VIX option prices themselves get bid. Our vega guide explains the general mechanics, and fat tails and black swans explains why the spikes themselves are so large.
Frequently asked questions
Are VIX calls a good hedge?
They can be, for sudden crashes. The VIX rose by an average of 7.3 points on S&P 500 days down 3% or more over the decade to 2026, so calls can gain many times their cost in a panic. They are less reliable in slow, grinding declines and lose value quickly in calm markets, so most investors use them as a small part of a hedge.
How are VIX options priced?
VIX options are priced off the VIX futures contract that expires on the same date, not the spot VIX index. In calm markets the futures usually trade above spot, so a VIX call needs the futures, not just the spot index, to rise above the strike.
When do VIX options expire?
VIX options usually expire on a Wednesday, 30 days before the following month’s standard S&P 500 option expiration. They are European style and cash-settled against a special opening quotation of the VIX calculated that morning.
Are VIX calls better than SPX puts?
Neither is better in all cases. VIX calls tend to return more per dollar in a sudden crash and cost less per contract, but they decay faster and don’t map directly to portfolio losses. SPX puts pay in any decline past the strike, including slow ones. Many hedgers combine them.
How much should I spend on VIX calls?
Rules-based programs typically spend a small fixed slice, around 1% of the portfolio a year or less. Cboe’s VIX Tail Hedge Index, for example, holds the S&P 500 plus a small allocation to one-month VIX calls that varies with the level of VIX futures.
How are VIX options taxed?
In the US, VIX options are generally treated as Section 1256 contracts: gains and losses are taxed 60% long-term and 40% short-term regardless of holding period, and open positions are marked to market at year end. Confirm your situation with a tax adviser.
Key takeaways
- VIX calls gain when expected volatility rises, which happens in almost every sharp selloff.
- They are priced off VIX futures, which usually sit above the spot VIX in calm markets.
- In a fast crash a VIX call can be worth many times its cost; in a calm month it can lose most of its value.
- SPX puts pay more reliably in slow bear markets and map directly to portfolio losses.
- Keep VIX calls to a small budget, buy when the VIX is low, and set a rule to sell into a spike.
- VIX options are European-style, cash-settled Section 1256 contracts that usually expire on Wednesdays.
Sources and method
- Cboe, VIX Options Specifications — expiration, settlement and exercise style
- Cboe, VIX Futures — the contracts VIX options price from
- Cboe VIX Tail Hedge Index (VXTH) — a rules-based VIX call hedging benchmark
- Cboe Volatility Index via FRED (VIXCLS) — daily closes, 1990 to October 5, 2026
- 26 U.S. Code § 1256 — 60/40 tax treatment of Section 1256 contracts
VIX peaks are the highest daily closes in each year listed (FRED, VIXCLS). The average VIX change on large down days uses FRED’s S&P 500 and VIX closes from October 2016 to October 2026. The crash and calm scenarios are illustrative: VIX calls priced with Black-76 on an assumed VIX future of 18.5 and assumed volatility-of-volatility (110% at purchase, 90% in the crash case, 100% in the calm case); S&P 500 puts priced with Black–Scholes at assumed implied volatilities. Real VIX option prices depend on the futures curve and skew on the day.