Daily monitor · updated by GitHub Actions

SVIX and the probability of a crash

Ian Martin's SVIX index and the option-implied probability of a 20% drop in the S&P 500 within a month, computed every morning from the settlement prices of E-mini S&P 500 options.

0.66%probability of a 20% drop,
log investor

22.7SVIX, 30-day
(annualized %)

November 6, 2026

The options market prices a 20% drop in the S&P 500 over the next 24 days at 0.98% (risk-neutral). A log investor who holds the market reads that as 0.66%; a more risk-averse investor (power utility, γ = 2), as 0.45%.

SVIX is 22.7, against a VIX of 25.6.

Change in SVIX: +4.7 over a week.

Figure 1. Top: the 30-day SVIX next to the Cboe VIX, both annualized volatilities in percent. Bottom: the probability of a 20% drop in the S&P 500 by the option expiration closest to one month, under three sets of beliefs: risk-neutral (what the market charges), a log investor who holds the market (Martin 2017), and a power-utility investor with risk aversion 2 (Martin and Shi 2025). 20 sessions since October 12, 2026. Hover for the values on any day.

Recent sessions

Session	SVIX	VIX	Risk-neutral	Log investor	γ = 2
Fri, Nov 6, 2026	22.7	25.6	0.98%	0.66%	0.45%
Thu, Nov 5, 2026	24.4	28.2	1.50%	1.03%	0.73%
Wed, Nov 4, 2026	15.4	16.6	0.39%	0.27%	0.19%
Tue, Nov 3, 2026	18.9	20.8	0.79%	0.54%	0.38%
Mon, Nov 2, 2026	19.5	21.1	0.80%	0.54%	0.37%
Fri, Oct 30, 2026	17.9	19.4	0.80%	0.55%	0.38%
Thu, Oct 29, 2026	15.0	17.2	0.53%	0.37%	0.25%
Wed, Oct 28, 2026	15.4	16.9	0.59%	0.41%	0.28%
Tue, Oct 27, 2026	15.9	17.5	0.70%	0.48%	0.34%
Mon, Oct 26, 2026	16.6	18.4	0.80%	0.55%	0.38%

How this page is made

Every morning at 14:30 UTC, once CME's settlement prices from the evening before have reached Databento, a GitHub Actions workflow pulls the latest session of E-mini S&P 500 option settlements, with a Databento API key stored as a repository secret.
It computes SVIX and the three probabilities for that session and adds the row to the history: one CSV, kept on the repository's monitor-history branch, one small commit a day. The main branch holds only code.
It rebuilds this page from the history and publishes it on the gh-pages branch, which GitHub Pages serves.

Last updated November 9, 2026 at 22:00 UTC, by a GitHub Actions run. Code and history: ucarberkin/svix-crash-monitor.