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In the case of VIX, the option prices used are the S&P 500 index option prices. [13] [14] The VIX takes as inputs the market prices of the call and put options on the S&P 500 index for near-term options with more than 23 days until expiration, next-term options with less than 37 days until expiration, and risk-free U.S. treasury bill interest ...
The A-VIX is a market instrument pricing investor sentiment and market expectations. A relatively high A-VIX value implies that the market expects significant changes in the S&P/ASX 200 over the next 30 days, while a relatively low A-VIX value implies that the market expects minimal change. The ASX chart below illustrates this relationship.
CBOE Volatility Index (VIX) from December 1985 to May 2012 (daily closings) In finance, volatility (usually denoted by "σ") is the degree of variation of a trading price series over time, usually measured by the standard deviation of logarithmic returns. Historic volatility measures a time series of past market prices.
An introduction to the 'Fear Index' Continue reading...
Fear Index - common name for the Chicago Board Options Exchange Market Volatility Index, ticker symbol VIX, measuring the implied volatility of S&P 500 index options; The Fear Index - a 2011 novel by British author Robert Harris The Fear Index, a 2022 UK TV series based on Harris's novel, produced by Sky TV
The risk-free interest rate is 5%. XYZ stock is currently trading at $51.25 and the current market price of C X Y Z {\displaystyle C_{XYZ}} is $2.00. Using a standard Black–Scholes pricing model, the volatility implied by the market price C X Y Z {\displaystyle C_{XYZ}} is 18.7%, or:
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