VIX - CBOE Volatility Index

VIX - CBOE Volatility Index

The ticker symbol for the Chicago Board Options Exchange (CBOE) Volatility Index, which shows the market's expectation of 30-day volatility. It is constructed using the implied volatilities of a wide range of S&P 500 index options. This volatility is meant to be forward looking and is calculated from both calls and puts. The VIX is a widely used measure of market risk.

Notes:

The first VIX, introduced by the CBOE in 1993, was a weighted measure of the implied volatility of eight S&P 100 at-the-money put and call options. Ten years later, it expanded to use options based on a broader index, the S&P 500, which allows for a more accurate view of investors' expectations on future market volatility. VIX values greater than 30 are generally associated with a large amount of volatility as a result of investor fear or uncertainty, while values below 20 generally correspond to less stressful, even complacent, times in the markets. The index is often referred to as the "investor fear gauge".

See also: At-the-Money, Call, Capitulation, Chicago Board Options Exchange - CBOE, In-the-Money, S&P 100 Index (OEX), Out-of-the-Money, Put, Volatility, VXN