VIX Index

VIX Index

An equity volatility measure developed in 1993 by the Chicago Board Options Exchange. The index is calculated using eight S&P 100 (OEX) option contracts, four calls and four puts, with an average time to maturity of 30 days. Many traders use the VIX as a general measure of index option volatility. Also called CBOE Volatility Index.

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VIX Index

A mathematical measure of the implied volatility of options trading on the S&P 500 index. That is, the VIX Index attempts to measure the likelihood that option prices will 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 VIX Index is operated by the Chicago Board of Options Exchange. It is also called the VIX CBOE Index.