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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-market data. To summarize, VIX is a volatility index derived from S&P 500 options for the 30 days following the measurement date, [ 5 ] with the price of each option ...
For context, the lowest daily closing value for the VIX was 9.14 in November 2017. VIX of 13-19: This range is considered to be normal, and volatility over the next 30 days when the VIX is at this ...
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.
In the current situation, however, the bank sees an opportunity: "In our view, the record VIX retracement offers the opportunity to add equity hedges at similar levels as before the early-August ...
The problem is that current VIX values may now reflect the trading activity in the VIX futures, rather than the other way around (VIX futures are based the underlying VIX index, with some premium ...
CBOE Volatility Index (VIX) Dow Jones & Company indices Dow Jones Industrial Average; Dow Jones Transportation Average; Dow Jones Utility Average; MarketGrader indices Barron's 400 Index [1] Nasdaq indices NASDAQ Composite; NASDAQ-100; NASDAQ Financial-100; Russell Indexes (published by Russell Investment Group) Russell 3000; Russell 1000 ...
IVX and VIX have similar nature, despite some diversities in the methodology and calculation. VIX (introduced by CBOE in 2003) is counted as an option price's weighted average, using all available range of strikes, thus it is independent of the model used to derive implied volatilities.
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