Volatility Indexes www.cboe.com/Volatility

   
VIX - CBOE Volatility Index  
   

Prices for 3 VIX
Futures are above

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.


Volatility Indexes

Volatility Indexes (U.S. Stock Indexes)

Ticker Index Delayed Quotes
Sym Last Pt. Change
VIX® CBOE Volatility Index®
VIX 20.68 1.92
VXNSM CBOE NASDAQ Volatility Index
VXN 20.73 1.25
VXOSM CBOE S&P 100 Volatility Index
VXO 20.04 1.30
VXDSM CBOE DJIA Volatility Index
VXD 19.20 2.40
RVXSM CBOE Russell 2000 Volatility Index
RVX 23.66 1.60
VXSTSM CBOE Short-Term Volatility Index
VXST 21.49 2.71
VXVSM CBOE 3-Month Volatility Index
VXV 21.26 1.26
VXMTSM CBOE Mid-Term Volatility Index
VXMT 21.68 1.02

Volatility Indexes (Non- U.S. Stock ETFs)

Ticker Index Delayed Quotes
Sym Last Pt. Change
VXEFA CBOE EFA ETF Volatility Index
VXEFA 18.59 1.79
VXEEM CBOE Emerging Markets ETF Volatility Index
VXEEM 24.23 2.48
VXFXI CBOE China ETF Volatility Index
VXFXI 25.28 0.02
VXEWZ CBOE Brazil ETF Volatility Index
VXEWZ 37.24 2.53

Volatility Indexes (Interest Rates)

Ticker Index Delayed Quotes
Sym Last Pt. Change
VXTYN CBOE/CBOT 10-year U.S. Treasury Note Volatility Index
VXTYN 6.54 0.09
SRVX CBOE Interest Rate Swap Volatility Index
SRVX 86.41 0.25

Volatility Indexes (Commodity-related ETFs)

Ticker Index Delayed Quotes
Sym Last Pt. Change
OVX CBOE Crude Oil ETF Volatility Index
OVX 54.68 -0.01
GVZ CBOE Gold ETF Volatility Index
GVZ 19.48 -0.77
VXSLV CBOE Silver ETF Volatility Index
VXSLV 34.90 -1.38
VXGDX CBOE Gold Miners ETF Volatility Index
VXGDX 45.46 -0.32
VXXLE CBOE Energy Sector ETF Volatility Index
VXXLE 31.88 0.15

Volatility Indexes (Currency-related)

Ticker Index Delayed Quotes
Sym Last Pt. Change
EUVIX CBOE/CME FX Euro Volatility IndexSM
EUVIX 13.19 0.24
JYVIX CBOE/CME FX Yen Volatility IndexSM
JYVIX 12.34 0.54
BPVIX CBOE/CME FX British Pound Volatility IndexSM
BPVIX 9.52 0.19
EVZ CBOE EuroCurrency ETF Volatility Index
EVZ 12.61 0.04

Volatility Indexes (Single Stocks)

Ticker Index Delayed Quotes
Sym Last Pt. Change
VXAZN CBOE Equity VIX® on Amazon
VXAZN 30.79 -14.70
VXAPL CBOE Equity VIX® on Apple
VXAPL 30.13 0.87
VXGS CBOE Equity VIX® on Goldman Sachs
VXGS 26.09 0.63
VXGOG CBOE Equity VIX® on Google
VXGOG 20.28 -8.47
VXIBM CBOE Equity VIX® on IBM
VXIBM 22.06 0.75

Volatility of VIX

Ticker Index Delayed Quotes
Sym Last Pt. Change
VVIX CBOE VIX of VIX Index
VVIX 107.38 6.68

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.

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.

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 volatility implicit in the prices of near-term or mid-term 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.

  VIX Snapshot

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