You can largely ignore what's printed on the bottle. For something to qualify as a 0w40, there's a range of kinematic viscosities it can have. So it is entirely possible for there to be a "thin 0w40" and a "thick 0w40". There are some 5w30s that are so thick they're only 5% thinner than some 5w40s, for example. It's a sliding scale.
The reason I say you can ignore what's on the bottle is that the HTHSV (high temp high shear viscosity, sometimes shown as just HTHS) is the true "operational viscosity" of an oil. HTHS is basically the oil's kinematic viscosity at 150 C, a temperature you will see in the bearings and other high-stress areas. Judge an oil's viscosity by the HTHS value, not the printed viscosity on the label. The VW 502/505 (and ACEA A3/B3 spec upon which it is based) calls for HTHS to be at least 3.5. You will see a whole host of oils right around there: 0w30s, 5w30s, 0w40s, and 5w40s.
Here's a good example: Castrol Syntec 0w30 and Liqui-Moly Synthoil Energy 0w40 both have HTHSV of 3.6. This means that for all intents and purposes, these two oils will have the same viscosity during normal operation. This is despite one appearing to be thinner! Another good example: Red Line 5w30 and Mobil 1 0w40 both have HTHSV of 3.8. Again, both of those oils will have the same viscosity during normal operation....yet one is 5w30 and the other 0w40!
Here's another doosy that will really illustrate it well: Motul 300V 5w40 offers HTHSV of 4.51. Castrol Syntec 5w50 offers HTHSV of 4.3...so which oil is thicker? The Motul is, despite being labeled as a 5w40 and appearing to be thinner.
One more in case you still aren't getting it: Red Line 5w20 has HTHSV of 3.3. Pennzoil Ultra 5w30 has HTHSV of 3.1...so the Pennzoil is thicker because it's a 5w30, right? Wrong, the Red Line is thicker since it has a higher HTSV.
Where people get into trouble is assuming that all 0w30s, for example, are the same viscosity. They aren't. Mobil 1 Advanced Fuel Economy 0w30 has an HTHSV of only 3.0 -- it is considerably thinner than Castrol Syntec 0w30 (3.6). The M1 would be some 17% thinner in operation despite being labeled as the same viscosity! Certain boutique oils for racing/high-performance apps, like Red Line and Motul 300V, have abnormally high HTHSV for their grade. Red Line's 5w30, as I said above, is as thick as many 5w40/0w40s! This is a result of the special group V basestocks they use.
Pick an oil with HTHSV 3.5-4.0. Anything higher than 4.0 is unnecessary in most of our cars and will just sap power and generate more heat (and change oil pressure slightly). Anything under 3.5 is a gamble that would result in more power/better fuel economy but provide considerably less protection.
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