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 ?
Ari Wald, an equity strategy research analyst at Brown Brothers Harriman, views the declining trend in the VIX as a sign of abating downside momentum.
As such, the VIX is directly linked to stock market movements, up and down.
VIX is an index designed to reflect how volatile the S&P 500 is expected to be over the next 30 days.
Outra forma mais recente de calculo da volatilidade implicita e o VIX (sigla para Volatility Index), feito pela Chicago Board Options Exchange, visando eliminar a serie de hipoteses assumidas no modelo Black-Scholes.
Our data sources consist of daily close of India VIX retrieved from the National Stock Exchange of India (NSE) website.
Originally, the VIX was based on options data derived from the companies included in the S&P 100 Index.
Total volume in VIX futures for October was a record 7.
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.
VelocityShares Daily 2x VIX Mid-Term ETN (TVIZ) shows how that longer maturity can help dampen losses in a down market.
When Obama was inaugurated in 2009 and the VIX was at 46, the Dow was at 8,000 on the way to 6,600.
Volatility and the VIX Index rise with uncertainty and a lower probability of an outcome.
Therein lies a problem with VIX - the VIX itself is highly volatile.