CBOE Volatility Indexes

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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.

CBOE Volatility Products

Equity Indexes

Futures Indexes


Awards for VIX Products

Resources

  • CBOE Volatility Microsite [1]

References

  1. CBOE Volatility Indexes. Chicago Board Options Exchange.
  2. "THE STRIKING PRICE, LAWRENCE G. MCMILLAN, Modern Portfolio Protection”. Dow Jones.