CBOE Volatility Indexes

From MarketsWiki

The Chicago Board Options Exchange (CBOE) calculates and updates the prices of a number of volatility-related indexes, each of which is a key measure of market expectations of near-term volatility conveyed by stock index option prices.^[1] The VIX, introduced at CBOE in 1993, and other volatility contracts have become a highly successful contract group for CBOE. Through the middle of 2007, open interest in VIX options was some 1.7 million contracts, with roughly 1.2 million constituting calls. ^[2]

VIX options are offered for trading on CBOE, while futures on four of the volatility indexes are traded at the CBOE Futures Exchange(CFE®).

These volatility indexes measure the market's expectation of 30-day volatility implicit in the prices of near-term index options. The indexes are quoted in percentage points, just like the standard deviation of a rate of return, e.g., 19.36. CBOE disseminates the index values continuously during trading hours.

Contents 1 CBOE Volatility Products 2 Awards for VIX Products 3 Resources 4 References

CBOE Volatility Products

Equity Indexes

• CBOE Volatility Index (VIX)
• CBOE DJIA Volatility Index (VXD)
• CBOE NASDAQ Volatility Index (VXN)
• CBOE Russell 2000 Volatility Index (RVX)
• CBOE S&P 100 Volatility Index (VXO)
• CBOE S&P 500 VARB-X Strategy Benchmark(VTY)
• CBOE S&P 500 3-Month Volatility Index (VXV)
• CBOE VIX Premium Strategy Index (VPD)
• CBOE Capped VIX Premium Strategy Index (VPN)

Futures Indexes

• CBOE Volatility Index (VX)
• CBOE DJIA Volatility Index (DV)
• CBOE NASDAQ-100 Volatility Index (VN)
• CBOE Russell 2000 Volatility Index (VR)

Awards for VIX Products

• 2006 Leader in Options Innovation, Options on the CBOE Volatility Index for Most Innovative Index Derivative Award: 2006 Super Bowl of Indexing Conference

• 2004 Leader in Futures Innovation for the CBOE Volatility Index Futures (Most Innovative Index Derivative Award): 2004 Super Bowl of Indexing Conference

Resources

• Also see CBOE index options for a full listing of indexes traded on CBOE.

• CBOE Volatility Microsite [1]

References

1. ↑ CBOE Volatility Indexes. Chicago Board Options Exchange. Retrieved on January 30, 2008.
2. ↑ "THE STRIKING PRICE, LAWRENCE G. MCMILLAN, Modern Portfolio Protection”. Dow Jones. Retrieved on Nov. 26, 2007.