The Cboe Volatility Index (VIX), has become one of the most widely watched indicators of market sentiment in the world.

In theory, it works on a simple principle: It is a measure of the stock market's expectation of volatility over the following 30 days based on near-term S&P 500 index options, both puts and calls. The higher the number, the greater the expectation that market volatility will be higher over the next 30 days.

This week, despite a massive rally that saw the S&P rise nearly 20% from its Monday low to its Thursday high, the VIX remained stubbornly high, in the 60s, all week. These are levels that have been rarely since its inception in 1993.

Robert Whaley is often referred to as "the father of the fear index." He is the director of the Financial Markets Research Center at Vanderbilt University. He spoke to me by phone from his home in Nashville.

What is the VIX telling us now?

"The VIX measures expectations of volatility 30 days out. Right now, with the VIX near 70, the index is saying that the intraday swings on the S&P 500 will be 4% to 5% on a daily basis, which is an awful lot of volatility."

What would it take to bring it down, let's say to the 30s?

"We need to reduce the uncertainty level. The S&P has been swinging in daily prices swings of 4%, 5%, 6% or more for several weeks. The VIX is just an estimate of future volatility, so traders look at the actual volatility that is through the roof and they are naturally assuming some of this volatility will continue."