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Chicago Board Options Exchange Volatility Index

Description: The 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.

Content Type: Financial Markets Data, WRDS

Subject: Stock Options

Access:

  • Current HU faculty, students, and staff

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  • HU undergraduates may use WRDS in the Financial Databases Room.

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