The Chicago Board Options Exchange® (CBOE®) calculates and updates the prices of several volatility indexes that are designed to measure the market's expectation of future volatility implied by options prices.
CBOE's volatility indexes are key measures of market expectations of volatility conveyed by option prices. The indexes measure the market's expectation of volatility implicit in the prices of 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.