The CBOE DJIA Volatility Index (VXD) is based on real-time prices of options on the Dow Jones Industrial AverageSM (DJIA, with an options ticker of DJX), and is designed to reflect investors' consensus view of future (30-day) expected stock market volatility.
Consultant's Study on the CBOE DJIA Volatility Index (VXD)
In 2007 the Fund Evaluation Group (FEG) 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 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.
Click here for a link to the study.
CBOE Press Release on BXD/VXD Study Dated March 2, 2007
CBOE To Begin Disseminating Two New Indexes Based On The Dow Jones Industrial Average: CBOE DJIA Volatility Index and CBOE DJIA BuyWrite Index
VXD Price History
Rescaling of VIX Futures Contracts effective March 26, 2007 - CFE Information Circular
Updated Price Charts
CBOE DJIA Volatility Index (VXD) : www.cboe.com/VXD
5 year % change vs. S&P 500 Index (SPX) *
* The S&P 500 Index (SPX) is a price index that does not include reinvested dividends.
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Spreadsheets with Historical Price Data
Historical Daily Prices - Spreadsheet with Closing Prices for Several Indexes
Historical Month-end Prices - Spreadsheet with Closing Prices for Several Indexes
In addition, Market Data Express gives users access to more than 16 years of historical options data
Options involve risk and are not suitable for all investors. Prior to buying or selling an option, a person must receive a copy of Characteristics and Risks of Standardized Options (ODD). Copies of the ODD are available from your broker, by calling 1-888-OPTIONS, or from The Options Clearing Corporation, One North Wacker Drive, Suite 500, Chicago, Illinois 60606. CBOE® and Chicago Board Options Exchange® are registered trademarks of Chicago Board Options Exchange, Incorporated.
The Dow Jones Industrial AverageSM is a product of Dow Jones Indexes, a licensed trademark of CME Group Index Services LLC ("CME"), and has been licensed for use. "Dow Jones®", "Dow Jones Industrial AverageSM", "DJIASM" and "Dow Jones Indexes" are service marks of Dow Jones Trademark Holdings, LLC ("Dow Jones"), have been licensed to CME and have been sublicensed for use for certain purposes by Chicago Board Options Exchange, Incorporated ("CBOE"). Financial products based on the CBOE DJIA Volatility Index are not sponsored, endorsed, sold or promoted by Dow Jones, CME or their respective affiliates and none of them makes any representation regarding the advisability of investing in such product(s). The methodology of the CBOE DJIA Volatility Index is owned by CBOE and published pursuant to an agreement with Dow Jones. This document contains comparisons, assertions, and conclusions regarding the performance of index based on backtesting, i.e., calculations of how the index might have performed in the past if it had existed. Backtested performance information is purely hypothetical and is provided in this document solely for informational purposes. Backtested performance does not represent actual performance, and should not be interpreted as an indication of actual performance. Investors attempting to replicate the VXD Index should discuss with their brokers possible timing and liquidity issues. Past performance is not indicative of future results. The methodology for the VXD Index is subject to change. Copyright® 2014 Chicago Board Options Exchange, All Rights Reserved.