VIX

The CBOE Volatility Index ( VIX ) expresses the expected volatility of the U.S. stock index S & P 500. The VIX is published daily by the Futures Exchange Chicago Board Options Exchange ( CBOE ).

Concept

The volatility index VIX is the market expectations of short-term volatility ( implied volatility ) based on option prices on the S & P 500 over 30 days in percentage points at. A high value indicates a troubled market, low values ​​can be a development without large price fluctuations expected. The VIX is therefore also called " fear gauge ". About the direction of change, ie rising or falling prices, it is not conclusive. Between VIX and S & P 500 there is an opposite correlation. Increases the volatility of the VIX, then usually falls in the S & P 500 If the volatility of the VIX, the S & P 500 rises

History

Historical Overview

The VIX was calculated in 1993 by the Futures Exchange Chicago Board Options Exchange ( CBOE ) for the first time. In the first ten years, involved the calculation of the VIX to the S & P 100, only to change the calculation method 2003 on the S & P 500 Since then, the actually existing at the CBOE options are included. This means that the calculation is no longer based on fictitious options. Since 22 September 2003, the CBOE publishes two indexes:

  • CBOE Volatility Index ( VIX)
  • CBOE S & P 100 Volatility Index ( VXO)

The back-calculation of the VIX was until 1990 ( according to the new method) and for the VXO to 1986 ( according to the old method).

A peaked, the VIX calculation on Black Monday, October 19, 1987, with a final score of 150.19 points. This meant compared to the October 16, 1987, an increase of 113.82 percent. This Friday, the index finished trading yet with 36.37 points. On Tuesday, 20 October 1987, the VIX marked in the course of trade a record high of 172.79 points. However, these figures were calculated according to the old method of calculation and refer to the S & P 100 These data ordered the Chicago Board Options Exchange in 2003 the CBOE S & P 100 Volatility Index ( VXO) to.

On December 23, 1993, it was made ​​in the course of trading with 8.86 points and 9.04 points at the closing with an all time low. During the financial crisis, which began as the U.S. real estate crisis in the summer of 2007, the index rose to its highest level since 1987. On 24 October 2008 he reached during trading 89.53 points. The highest daily closing value since 1987 reached the CBOE Volatility Index on 20 November 2008 with 80.86 points.

Annual development

The table shows the annual high, low and closing levels of the back-calculated to 1986 CBOE Volatility Index ( VIX).

¹ December 31, 2012

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