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The resulting VIX index formulation provides a measure of market volatility on which expectations of further stock market volatility in the near future might be based. The current VIX index value quotes the expected annualized change in the S&P 500 index over the following 30 days, as computed from options-based theory and current options ...
The VIX is an index run by the Chicago Board Options Exchange, now known as Cboe, that measures the stock market’s expectation for volatility over the next 30 days based on option prices for the ...
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.
The Nikkei stock index hemorrhaged 12% that Monday — its biggest one-day drop since 1987 — while the S&P 500 plummeted 3%. The VIX Volatility Index ( ^VIX ) spiked to 65, the third-highest ...
The Chicago Board Options Exchange's Volatility Index, also known as the VIX, has been trending lower lately, which has some analysts predicting a stock market correction between late January and ...
The index was developed by Robert E. Whaley, a Vanderbilt University finance professor, [17] and was intended to measure the 30-day implied volatility of S&P 100 option prices. [16] In 2003, the underlying benchmark for the VIX was changed to the S&P 500. [18] The company launched tradeable products using VIX as the underlying index. [18]
The DJIA winning streak continues, S&P 500 does not… The S&P 500 Index might have closed down slightly with a 3.74 drop breaking its 7 day winning streak, but the Dow Jones Industrial Average ...
Armed with a forecast of volatility, and capable of measuring an option's market price in terms of implied volatility, the trader is ready to begin a volatility arbitrage trade. A trader looks for options where the implied volatility, σ C ¯ {\displaystyle \sigma _{\bar {C}}\,} is either significantly lower than or higher than the forecast ...