Whitepaper

The VIX Index Decomposition: A Heuristic Framework to Unravel Unexpected Behaviors in the VIX Index

A comprehensive whitepaper by Ed Tom, Sr. Dir, Derivatives Market Intelligence

To demonstrate the usage of our new tool, we include a case study comparing two recent large vol spikes - the Aug 5th 2024 Yen Carry Unwind vs. the April 2025 post-"Liberation Day" sell-off. Our analysis shows that while the VIX index experienced superficially similar nominal moves in response to the tall risk catalyst, they were driven by completely opposite views with respect to investor positioning and sentiment.

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