VIX


Also found in: Acronyms, Encyclopedia, Wikipedia.

VIX

The implied volatility on the S&P 100 (OEX) option. This volatility is meant to be a forward looking volatility. It is calculated from both calls and puts that are near the money. The VIX is a popular measure of market risk.

CBOE Volatility Index

A mathematical measure of the implied volatility of options trading on the S&P 500 index. That is, the CBOE Volatility Index attempts to measure the likelihood of option prices to vary unpredictably in the context of a particular pricing model in this case, the Black-Scholes model. A higher number on the index represents greater volatility, while a lower number represents lower volatility. While critics maintain that its usefulness is overstated, the index is considered a leading indicator of option volatility in the wider market. The CBOE Index is operated by the Chicago Board of Options Exchange, and is also known as the VIX.
References in periodicals archive ?
Our data sources consist of daily close of India VIX retrieved from the National Stock Exchange of India (NSE) website.
Like the VIX Index, VXST is calculated using CBOE's proprietary VIX methodology, but whereas VIX is calculated using SPX monthly options, VXST is calculated using S&P 500 options that expire every Friday, including CBOE's highly successful SPXW options.
Whatever it was, the temporary disruption in trading followed a day when other traders were noting the VIX was not moving as expected.
Volatility and the VIX Index rise with uncertainty and a lower probability of an outcome.
Specifically, we investigate whether the VIX has a direct and systematic effect on equity returns by increasing or decreasing the returns of the systematically priced factors included in the Fama and French (1993) model augmented with a momentum factor (Carhart, 1997).
If there is broad consensus in the market that there will be higher risk or more volatility ahead, the prices of those options will rise and so will the VIX.
Trading was brisk in VIX options, which are priced off of VIX futures.
Standard & Poor's([R])", "S&P 500[R]", "S&P([R])", "S&P 500[R] Total Return", "S&P 500 VIX Short-Term Futures[TM]" and "S&P 500 VIX Mid-Term Futures[TM]" are trademarks of Standard & Poor's Financial Services, LLC ("S&P") and Dow Jones([R]) is a registered trademark of Dow Jones Trademark Holdings LLC ("Dow Jones").
Chicago time) close of VIX futures, the market will reopen for a new trading period from 3:30 p.
Essentially, the VIX measures how volatile stocks in the S&P 500 are expected to be over the next thirty days.
In addition to options on the two iPath VIX Futures ETNs, NYSE Amex is also listing options on the iPath Goldman Sachs Crude Oil Total Return Index ETN (OIL) and NYSE Arca will be trading options in six other ETNs.
NEW YORK -- Barclays Bank PLC announced today that it will implement a 1 for 4 reverse split of its iPath([R]) S&P 500 VIX Short-Term Futures(TM) Exchange Traded Notes (the "ETNs") effective Thursday, October 5, 2012.