Volatility Indexes www.cboe.com/Volatility

   
VIX - CBOE Volatility IndexVIX - CBOE Volatility Index  
   

The Chicago Board Options Exchange® (CBOE®) calculates and updates the prices of a number of implied volatility indexes:

Implied Volatility Indexes


Volatility Indexes (Stock Indexes)

Ticker Index Delayed Quotes
Sym Last Pt. Change
VIX® CBOE Volatility Index®
VIX 12.07 0.00
VXNSM CBOE NASDAQ Volatility Index
VXN 13.64 0.00
VXOSM CBOE S&P 100 Volatility Index
VXO 10.88 0.00
VXDSM CBOE DJIA Volatility Index
VXD 12.19 0.00
RVXSM CBOE Russell 2000 Volatility Index
RVX 17.47 0.00
VXSTSM CBOE Short-Term Volatility Index
VXST 11.12 0.00
VXVSM CBOE 3-Month Volatility Index
VXV 15.32 0.00
VXMTSM CBOE Mid-Term Volatility Index
VXMT 17.58 0.00

Volatility Indexes (Interest Rates)

Ticker Index Delayed Quotes
Sym Last Pt. Change
VXTYN CBOE/CBOT 10-year U.S. Treasury Note Volatility Index
VXTYN 5.11 0.00
SRVX CBOE Interest Rate Swap Volatility Index
SRVX 81.92 0.00

ETF Volatility Indexes


Volatility Indexes (Single Stocks)

Ticker Index Delayed Quotes
Sym Last Pt. Change
VXAZN CBOE Equity VIX® on Amazon
VXAZN 27.61 0.00
VXAPL CBOE Equity VIX® on Apple
VXAPL 24.48 0.00
VXGS CBOE Equity VIX® on Goldman Sachs
VXGS 18.33 0.00
VXGOG CBOE Equity VIX® on Google
VXGOG 18.67 0.00
VXIBM CBOE Equity VIX® on IBM
VXIBM 15.78 0.00

Volatility of VIX

Ticker Index Delayed Quotes
Sym Last Pt. Change
VVIX CBOE VIX of VIX Index
VVIX 77.04 0.00

CBOE's volatility indexes are key measures of market expectations of near-term volatility conveyed by option prices. The 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. The indexes are leading barometers of investor sentiment and market volatility relating to listed options.

Futures and Options on CBOE's Volatility Indexes

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

Futures and options on the CBOE's volatility indexes have several features that distinguish them from most equity and index options. Here are unique features of VIX options:

  • Pricing Based on Forward VIX Value
  • Pricing Can Be Different for a Number of Reasons
  • Wednesday Settlement
  • Special Opening Quotation Price
  • High Volatility of Volatility

Volume Charts

VIX Options Avgerage Daily Volume

VIX Futures Avgerage Daily Volume

Study on Volatility Index as a Diversification Tool

In 2007 the Fund Evaluation Group (FEG) consulting firm issued a new study entitled "Evaluation of BuyWrite and Volatility Indexes - Using the CBOE DJIA BuyWrite Index (BXD) and the CBOE DJIA Volatility Index (VXD) for Asset Allocation and Diversification Purposes." The paper studied the 109-month period from October 1997 to November 2006. The FEG study presented several findings on the 9-year performance of the VXD spot index, including:

Volatility Index Can Reduce Portfolio Volatility . Including a small (10%) allocation to the CBOE DJIA Volatility Index (VXD) could have reduced the volatility of an all-stock portfolio by about 26%, without materially affecting returns.

Low Correlation and Diversification . The VXD and the DJIA were inversely correlated (-0.62) over the course of this study. The study showed that VXD increased more during market declines (VXD reacted more to stock market declines than to stock market advances), indicating that VXD has potential as a diversification tool.

Impact on Risk-Adjusted Returns . The inclusion of a small (5%) allocation to the VXD Index boosted risk-adjusted returns for a stock-oriented portfolio, and lowered the risk-adjusted returns for a fixed-income-oriented portfolio.

Exhibit 14 of the FEG study showed the impact of adding 5% allocations of the VXD spot index to an all-stock DJIA portfolio. Please note that (1) the study used prices of the VXD spot index because long-term data on prices of VXD futures was not available, and (2) that the futures on volatility indexes often have had less price movement than the volatility spot indexes.

Futures and options on the CBOE's volatility indexes have several UNIQUE FEATURES that distinguish them from most equity and index options, and investors are strongly ENCOURAGED TO CLOSELY READ AND UNDERSTAND THE VIX OPTIONS FAQ at http://www.cboe.com/micro/vix/faq.aspx and other informational materials before investing.