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0-9 A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

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CBOE Indexes


CBOE Indexes
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Requires an account for use (instructions in About) (WRDS) limited to students, faculty, and staff of the University of Texas at Austin
The CBOE (Chicago Board Options Exchange) Volatility Index® (VIX®) is a key measure of market expectations of near-term volatility conveyed by S&P 500 stock index option prices. The VIX Index was introduced in 1993 by Professor Robert E. Whaley of Duke University in his paper "Derivatives on Market Volatility: Hedging Tools Long Overdue," Journal of Derivatives 1 (Fall 1993), pp. 71-84. Since then, VIX has been considered by many to be the world's premier barometer of investor sentiment and market volatility.

The New VIX still measures the market's expectation of 30-day volatility, but in a way that conforms to the latest thinking and research among industry practitioners. The New VIX is based on S&P 500 index option prices and incorporates information from the volatility "skew" by using a wider range of strike prices rather than just at-the-money series.

In order to use this service, you must request an account. University of Texas at Austin faculty, Ph.D. students, and Master’s students may request an account by choosing the "register for a WRDS account" link via the web page linked above. Accounts will be activated within 48 business hours.

 
 
User Limits: unlimited
 
Related Subjects
Accounting
Business
Finance
 
Related Types
Company and Industry Information