FRED – CBOE S&P 500 3-Month Realized Volatility
- Rows
- 4,821
- Columns
- 2
Daily CBOE S&P 500 3-month implied volatility index from 2007 to present. Companion to the VIX for longer-horizon vol.
AI analysis
FRED CBOE S&P 500 3-Month Realized Volatility (VXVCLS) — Dataset Analysis
1. Dataset Overview & Research Value This dataset captures the CBOE S&P 500 3-Month Implied Volatility Index (VXVCLS), sourced directly from the Federal Reserve Bank of St. Louis's FRED API (https://fred.stlouisfed.org/graph/fredgraph.csv?id=VXVCLS). The FRED provenance is significant: it signals institutional-grade reliability, regular refresh cadence tied to CBOE publication schedules, and continuity back to 2007 — spanning the Global Financial Crisis, COVID crash, and multiple Fed tightening cycles. As a longer-horizon companion to the VIX (which measures 30-day implied vol), VXVCLS is particularly valuable for studying term structure of volatility, risk sentiment persistence, and forward-looking market stress. For correlation research, its daily granularity and nearly 15-year span make it a powerful explanatory or dependent variable in macro-financial studies.
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2. Data Quality Observations Overall quality is good but not pristine. Across 4,821 rows and 2 columns, there are 174 null cells, all concentrated in the VXVCLS column (3.6% null rate) — the Date column is perfectly complete with zero nulls. This asymmetry is expected: CBOE markets are closed on weekends and holidays, yet the date spine likely includes calendar days continuously, producing non-trading-day gaps. However, 3.6% is worth verifying — if the date index is already business-day-only, these nulls could indicate genuine data feed interruptions or early series sparsity near the 2007 start. Duplicate row counts are flagged as pending recomputation (Phase D), so deduplication should be confirmed before any time-series modeling. No type mismatches are reported, and with Date showing 4,821 distinct values matching total row count exactly, there are no duplicate dates — a strong structural integrity signal.
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3. Key Column Distributions The VXVCLS column tells a rich story through its statistics. The mean of 21.64 vs. a median of 19.91 already signals right skew, confirmed by a skewness coefficient of 2.03 — a meaningfully elevated figure indicating the distribution has a long right tail driven by crisis spikes. The interquartile range runs from Q1=16.22 to Q3=24.73, suggesting that in "normal" regimes, 3-month implied vol trades in a fairly tight 8.5-point band. The minimum of 11.85 reflects complacent, low-volatility bull market environments, while the maximum of 72.98 almost certainly corresponds to March 2020 (COVID crash) or late 2008 (Lehman collapse). The 190 statistical outliers (~3.9% of valid observations) are not noise — they are exactly the high-stress events that make this series analytically valuable, and they should be retained rather than removed in most research contexts.
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4. Recommended Join Key Date is the unambiguous join key. Its perfect completeness (0 nulls), full distinctness (4,821 unique values), and daily granularity make it ideal for time-series alignment with other financial, economic, or sentiment datasets. When joining to datasets with different frequencies (monthly macro releases, weekly sentiment surveys), a date-spine aggregation strategy — averaging or end-of-period sampling — is recommended to avoid artificial volatility in merged series.
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5. Suggested Companion Datasets for Correlation Analysis
| Dataset | Source | Why It Pairs Well | |---|---|---| | VIX (VIXCLS) | FRED / CBOE | Direct term-structure comparison; 1-month vs. 3-month vol spread is a key regime signal | | S&P 500 Index (SP500) | FRED | Test inverse vol-return relationship; identify vol clustering around drawdowns | | Federal Funds Rate / SOFR | FRED | Explore rate-vol interactions during tightening/easing cycles | | Credit Default Swap Spreads / HY OAS | FRED (BAMLH0A0HYM2) | Credit stress and equity vol tend to co-move during risk-off episodes | | Economic Policy Uncertainty Index | FRED (USEPUINDXD) | News-based uncertainty vs. market-implied vol — sentiment vs. price signal divergence | | Gold or Treasury Futures Prices | FRED / Quandl | Safe-haven flow behavior during high-vol regimes |
The strongest analytical opportunity is likely a VIX vs. VXVCLS term structure spread study, potentially enriched with credit spreads and Fed policy variables to build a composite market stress model.
Columns
- Date (date)
- VXVCLS (decimal)
