What is the VXZ 30-day expected price range?

As of May 29, 2026, with VXZ at $53.59 and ATM IV at 27.0%, the implied 30-day one-standard-deviation range is approximately ±$4.15, or about $49.44 to $57.74. IV rank is subdued, so the priced distribution is tighter than the 1-year typical width.

What does VXZ risk-neutral density tell us?

Risk-neutral density is the probability distribution of future VXZ price implied by listed option prices. Extracted via Breeden-Litzenberger (twice-differentiating the call price function with respect to strike), it represents the pricing kernel rather than the real-world probability of outcomes. Persistent skew or fat-tail features in the density reflect how the market is pricing tail risk.

How does VXZ ATM IV translate to a probability range?

ATM IV is annualized; multiplying by sqrt(t/365) scales it to the chosen tenor. Under lognormal assumptions, the resulting standard deviation defines the ±1σ band that contains roughly 68% of outcomes, ±2σ for 95%. Empirical equity returns have fatter tails than log-normal, so the implied tail probabilities under-state realized tail frequency in stressed regimes.

iPath Series B S&P 500 VIX Mid-Term Futures ETN (VXZ) Probability Analysis

Probability analysis extracts the risk-neutral probability distribution implied by option prices. It shows the market-implied likelihood of the underlying reaching various price levels by expiration.

iPath Series B S&P 500 VIX Mid-Term Futures ETN (VXZ) operates in the Financial Services sector, specifically the Asset Management industry, with a market capitalization near $36.9M, listed on CBOE, carrying a beta of -0.98 to the broader market. The iPath Series B S&P 500 VIX Mid-Term FuturesTM ETNs are designed to provide exposure to the S&P 500 VIX Mid-Term FuturesTM Index Total Return. Led by None, public since 2018-01-25.

Snapshot as of May 29, 2026.

Spot Price: $53.59
ATM IV: 27.0%
IV Rank: 22.3%
IV Percentile: 10.7%
HV 20-Day: 11.3%
IV Skew 25Δ: -0.042

As of May 29, 2026, iPath Series B S&P 500 VIX Mid-Term Futures ETN (VXZ) at $53.59 has an ATM IV of 27.0%, implying a 30-day one-standard-deviation range of approximately ±$4.15. IV rank is 22.3% (subdued, distribution priced tighter than usual). IV percentile is 10.7%. The 25-delta skew is -0.042: downside tail priced richer than upside, biasing probability mass below spot. Under lognormal assumptions roughly 68% of outcomes fall within ±1σ and 95% within ±2σ; risk-neutral probability analysis refines this by extracting the market-implied distribution directly from options prices, capturing the fat tails that real markets exhibit.

How VXZ probability analysis Data Feeds Strategy Selection

Strategy selection on iPath Series B S&P 500 VIX Mid-Term Futures ETN options does not derive from any single metric in isolation. The probability analysis view above sits inside a broader read: ATM IV currently sits at 27.0% and dealer gamma exposure is positive, so dealer hedging is mechanically mean-reverting. Combine the probability analysis data here with the volatility-skew surface, dealer-gamma exposure, max-pain level, and upcoming-events calendar to build a positioning thesis. Risk-defined structures (credit spreads, debit spreads, iron condors) are usually safer than naked positions while the regime is uncertain; the data on this page anchors the inputs but does not by itself constitute a trade thesis.

How to read the VXZ probability distribution

The probability cone above is the option-market-implied distribution of where iPath Series B S&P 500 VIX Mid-Term Futures ETN spot could end up at expiration. It's derived from the implied-volatility surface via a risk-neutral pricing transformation, not from historical realized returns. With ATM IV at 27.0% and spot at $53.59, the 1σ band is approximately ±9.3% over a 30-day horizon. Recent realized HV-20 of 11.3% runs 15.7 vol points below the current implied, suggesting the chain is pricing more dispersion than the underlying has been delivering.

VXZ risk-neutral vs real-world probabilities

The probabilities derived from option prices reflect the market's risk-adjusted view, not the realized statistical distribution. Risk-neutral probabilities include the equity risk premium and skew preferences priced into options, so they tend to overstate tail probability and understate upside drift relative to actually-realized outcomes. VXZ's put-skewed 25-delta surface (-0.042) means downside risk-neutral probabilities are higher than upside - the empirical bias is well-documented. For probability-of-touch calculations and assignment-risk modeling, risk-neutral is the right benchmark. For position-sizing your own conviction, blend with realized-volatility-based statistics from the HV columns.

Trading the VXZ distribution

Probability-driven strategies aim to capture mispricings between the implied distribution and your own probability assessment. Premium-selling structures (credit spreads, iron condors, cash-secured puts) profit when the implied distribution overprices tail probability relative to realized; premium-buying (debit spreads, long calls/puts, long straddles) profits in the reverse. With VXZ IV rank at 22.3%, the chain is pricing tighter tails than recent realized history; buyers get cheaper optionality but need a real catalyst to monetize. Always pair probability-driven strategy selection with a stop loss or wing-defined risk - the implied distribution is a snapshot, and regime shifts can invalidate it intraday.

Learn how risk-neutral density is reported and how to read the data →

Frequently asked VXZ probability analysis questions

What is the VXZ 30-day expected price range?: As of May 29, 2026, with VXZ at $53.59 and ATM IV at 27.0%, the implied 30-day one-standard-deviation range is approximately ±$4.15, or about $49.44 to $57.74. IV rank is subdued, so the priced distribution is tighter than the 1-year typical width.
What does VXZ risk-neutral density tell us?: Risk-neutral density is the probability distribution of future VXZ price implied by listed option prices. Extracted via Breeden-Litzenberger (twice-differentiating the call price function with respect to strike), it represents the pricing kernel rather than the real-world probability of outcomes. Persistent skew or fat-tail features in the density reflect how the market is pricing tail risk.
How does VXZ ATM IV translate to a probability range?: ATM IV is annualized; multiplying by sqrt(t/365) scales it to the chosen tenor. Under lognormal assumptions, the resulting standard deviation defines the ±1σ band that contains roughly 68% of outcomes, ±2σ for 95%. Empirical equity returns have fatter tails than log-normal, so the implied tail probabilities under-state realized tail frequency in stressed regimes.