VIX


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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 ?
Daily VIX levels are from the Federal Reserve Bank of St.
The February crash sparked a debate whether the VIX index and the related products were prone to manipulation and led to dozens of lawsuits and ongoing probes into the matter by U.S.
As such, the VIX is directly linked to stock market movements, up and down.
How does this relate to the VIX? VIX is an index designed to reflect how volatile the S&P 500 is expected to be over the next 30 days.
"There was nothing added on for their bad behaviour in court, it seemed everything was in their favour," said Vix, who described how the seven teenagers in the dock regularly sniggered and misbehaved during the trial.
There is a consistent buying of more expensive and longer-dated VIX futures and constant selling of cheaper shorter VIX futures, because they ordinarily they post negative returns for longer periods of time.
Modelos de volatilidade implicita sao abordados na Secao 3, comecando com o modelo Black-Scholes na Subsecao 3.1, VIX na Subecao 3.2 e a comparacao entre ambos na Subsecao 3.3, demonstrando os problemas do Black-Scholes que o VIX tenta mitigar.
The aim of this paper is to explain the seasonal anomalies in the form of implied volatility index (India VIX).
Originally, the VIX was based on options data derived from the companies included in the S&P 100 Index.
ViX, 45, and from Moseley, believes nutritionists amd homeopaths helped her on the path to recovery, revealing: "I'm happy to say that these days I genuinely "Ifeel healthy in mind, body and spirit.
Trading activity in VIX futures also set new week-long volume records in consecutive weeks during the month as 2.8m contracts traded during the week of October 13 through 17 and 1.7m contracts traded during the week of October 6 through 10.
The combination of sluggish growth and the three large increases in the VIX suggest that uncertainty may have slowed growth via its asymmetric effects on economic activity.