TheVIX , or Chicago Board Options Exchange (CBOE) Volatility Index is a measure of market expectations of near-term volatility as conveyed by S&P 500 stock index option
The Chicago Board Options Exchange's Volatility Index (VIX) measures the implied volatility of the S&P500 stock index over the next 30 days, using the stock index option
The OEX is the stock index option
most actively traded among individual investors," says Stanley Marszalk, vice president of CMI Business Services Inc.
This article examines the efficiency of the S&P 500 index options market using theoretical pricing relationships derived from stock index option
The VIX is computed from the S&P500 stock index option
prices, and higher numbers imply that investors expect more volatile movements in the S&P index in the near term.
15 million in the first half of 1992, is the second most actively traded index option in the world after CBOE's retail-oriented S&P 100 stock index option
Beware of the witch This coming Friday will mark the last so-called 'quadruple witching' day of the year, when contracts for stock options, single stock futures, stock index options
and stock index futures all expire.
AIJ attracted its clients by saying that it would make a stable profit from investments in stock index options
and was popular among investors as an asset manager paying good dividends even during the financial turmoil following the collapse of Lehman Brothers Holdings Inc.
The CBOE Volatility index VIX, which measures expected volatility in the S&P 500 over the next 30 days, closed below 19 on Friday for the first time since July 22, as a stabilising market reduced investor desire to seek protection in stock index options
against future losses.
Bates compares the resulting equilibrium with various option pricing anomalies reported in the literature: the tendency of stock index options
to overpredict volatility and jump risk; the Jackwerth (2000) implicit pricing kernel puzzle; and the stochastic evolution of option prices.
Analysts warned of added volatility during the session due to 'triple witching,' the simultaneous expiration of stock index futures, stock index options
and stock options.
It occurs with the concurrent expiration of groups of stock index futures, stock index options
and options on individual stocks.