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Volatility Indexes     www.cboe.com/Volatility

 
VIX
VIX - CBOE Volatility Index GVZ - CBOE Volatility Index
SPX 1875.39 -4.16
VIX 13.27 0.08
VIX/K4 15.19 -0.21
VIX/M4 15.75 -0.05
VIX/N4 16.40 -0.05
Delayed Quotes
   
Prices for 3 VIX
Futures are above

Volatility Indexes at CBOE (2-page PDF)
CBOE Options on Volatility Indexes
CFE Futures on Volatility Indexes

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

Implied Volatility Indexes

Ticker Index Website

Delayed Quotes

Sym  Last Pt. Change

Volatility Indexes (Stock Indexes)

VIX® CBOE Volatility Index® www.cboe.com/VIX
VIX 13.27 0.08
VXNSM CBOE NASDAQ Volatility Index www.cboe.com/VXN
VXN 16.90 -0.28
VXOSM CBOE S&P 100 Volatility Index www.cboe.com/VXO
VXO 13.13 0.78
VXDSM CBOE DJIA Volatility Index www.cboe.com/VXD
VXD 12.36 -0.03
RVXSM CBOE Russell 2000 Volatility Index www.cboe.com/RVX
RVX 19.12 0.17
VXSTSM CBOE Short-Term Volatility Index www.cboe.com/VXST
VXST 12.67 0.16
VXVSM CBOE 3-Month Volatility Index www.cboe.com/VXV
VXV 14.83 0.22
VXMTSM CBOE Mid-Term Volatility Index www.cboe.com/VXMT
VXMT 16.36 0.07

Volatility Indexes (Interest Rates)

VXTYN CBOE/CBOT 10-year U.S. Treasury Note Volatility Index www.cboe.com/VXTYN
VXTYN 4.71 -0.01
SRVX CBOE Interest Rate Swap Volatility Index www.cboe.com/SRVX
SRVX 78.42 -0.25

ETF Volatility Indexes

OVX CBOE Crude Oil ETF Volatility Index www.cboe.com/OILVIX
OVX 18.46 -0.35
GVZ CBOE Gold ETF Volatility Index www.cboe.com/GVZ
GVZ 15.61 -0.58
EVZ CBOE EuroCurrency ETF Volatility Index www.cboe.com/EVZ
EVZ 6.04 -0.12
VXEFA CBOE EFA ETF Volatility Index www.cboe.com/VXEFA
VXEFA 14.29 0.17
VXEEM CBOE Emerging Markets ETF Volatility Index www.cboe.com/VXEEM
VXEEM 21.30 -0.09
VXSLV CBOE Silver ETF Volatility Index www.cboe.com/VXSLV
VXSLV 25.04 -1.69
VXFXI CBOE China ETF Volatility Index www.cboe.com/VXFXI
VXFXI 22.07 0.02
VXGDX CBOE Gold Miners ETF Volatility Index www.cboe.com/VXGDX
VXGDX 31.64 -1.18
VXEWZ CBOE Brazil ETF Volatility Index www.cboe.com/VXEWZ
VXEWZ 28.92 -1.18
VXXLE CBOE Energy Sector ETF Volatility Index www.cboe.com/VXXLE
VXXLE 16.24 -0.24

Volatility Indexes (Single Stocks)

VXAZN CBOE Equity VIX® on Amazon www.cboe.com/VXAZN
VXAZN 43.24 -0.40
VXAPL CBOE Equity VIX® on Apple www.cboe.com/VXAPL
VXAPL 25.89 1.72
VXGS CBOE Equity VIX® on Goldman Sachs www.cboe.com/VXGS
VXGS 19.19 -0.13
VXGOG CBOE Equity VIX® on Google www.cboe.com/VXGOG
VXGOG 23.18 0.07
VXIBM CBOE Equity VIX® on IBM www.cboe.com/VXIBM
VXIBM 16.28 0.09

Volatility of VIX

VVIX CBOE VIX of VIX Index www.cboe.com/VVIX
VVIX 66.22 -0.52


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 links to unique features of VIX options—



Volume Charts

VIX Options Avgerage Daily Volume

VIX Futures Avgerage Daily Volume



Other Volatility-related Indexes
Ticker Index Website

Delayed Quotes

Sym  Last Pt. Change
VPD CBOE VIX Premium Strategy Index www.cboe.com/VPD
VPD 247.33 0.00
VPN CBOE Capped VIX Premium Strategy Index www.cboe.com/VPN
VPN 242.30 0.00
VXTH CBOE VIX Tail Hedge Index www.cboe.com/VXTH
VXTH 175.47 -0.37
LOVOL CBOE Low Volatility Index www.cboe.com/LOVOL
LOVOL 165.27 -0.26
SKEW CBOE S&P 500 SKEW Index www.cboe.com/SKEW
SKEW 126.11 -0.40
KCJ CBOE S&P 500 Implied Correlation Index (fixed maturity) www.cboe.com/KCJ
ICJ CBOE S&P 500 Implied Correlation Index (fixed maturity) www.cboe.com/ICJ
ICJ 60.59 -0.04
JCJ CBOE S&P 500 Implied Correlation Index (fixed maturity) www.cboe.com/JCJ
JCJ 33.41 0.00
VIN CBOE SPX Near-term VIX Index www.cboe.com/VIN
VIN 12.72 -0.05
VIF CBOE SPX Far-term VIX Index www.cboe.com/VIF
VIF 14.06 0.13
VWB CBOE VIX Indicative Bid Index
VWB 12.54 0.16
VWA CBOE VIX Indicative Ask Index
VWA 13.98 0.03
VBEEM CBOE VXEEM Indicative Bid Index
VBEEM 19.97 -0.42
VAEEM CBOE VXEEM Indicative Ask Index
VAEEM 24.37 2.10


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.



Volatility and Select Investment Instruments



Links to More Information about Volatility Indexes



Updated One-Week Price Charts for Select Volatility Indexes at CBOE

CBOE Volatility Index (VIX) www.cboe.com/VIX

1 week



CBOE Crude Oil Volatility Index (OVX) www.cboe.com/OVX

1 week



CBOE Gold ETF Volatility Index (GVZ) www.cboe.com/GVZ

1 week



CBOE Silver ETF Volatility Index (VXSLV) www.cboe.com/VXSLV

1 week



CBOE Equity VIX® on Apple (VXAPL) www.cboe.com/VXAPL

1 week



More Index Charts

Link to more Index Charts
Link to more Volatility Charts


Links for More Up-to-date Price Information

Price Quotes Page
Advanced Charts


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




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/vixoptionsfaq.aspx and other informational materials before investing. CBOE®, Chicago Board Options Exchange®, CBOE Volatility Index®, and VIX® are registered trademarks of Chicago Board Options Exchange, Incorporated (CBOE). BXM, BXD, BXN, BXR, BXY, VXD, VXN, RVX and SPX are service marks of CBOE. CFESM is a service mark of CBOE Futures Exchange, LLC. Dow Jones®, DJIA®, and Dow Jones Industrial AverageSM are trademarks of Dow Jones & Company, Inc. and have been licensed for use for certain purposes by CBOE. CBOE's Options on the Dow based on the Dow Jones indexes and financial products based on the CBOE DJIA BuyWrite Index and the CBOE DJIA Volatility Index are not sponsored, endorsed, marketed or promoted by Dow Jones and Dow Jones makes no representations regarding the advisability of investing in such products. S&P®and S&P 500® are registered trademarks of the McGraw-Hill Companies, Inc. and are licensed for use by CBOE. The Russell 2000® Index is a registered trademark of The Frank Russell Company, used under license. Nasdaq®, Nasdaq-100® and Nasdaq-100 Index are trademarks of The Nasdaq Stock Market, Inc. (with which its affiliates are the "Corporations"). The CBOE Nasdaq-100 BuyWrite Index, and the CBOE Nasdaq-100 Volatility Index ("Indexes") are not derived, maintained, published, calculated or disseminated by the Corporations. Neither the Indexes nor any Derivative Product based on the Indexes has been passed on by the Corporations as to its legality or suitability. Such Derivative Products are not issued, endorsed, sold, sponsored, marketed or promoted by the Corporations. The Corporations make no warranties and bear no liability with respect to the Indexes. The methodologies of the CBOE BuyWrite Indexes and the CBOE Volatility Indexes are owned by CBOE and may be covered by one or more patents or pending patent applications. CBOE's BuyWrite Indexes are designed to represent a proposed hypothetical buy-write strategy. Supporting documentation for claims, comparisons, recommendations, statistics or other technical data is available by calling 1-888-OPTIONS, sending an e-mail to institutional@cboe.com, or by visiting www.cboe.com. 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. Past performance does not guarantee future results. The methodology of the CBOE Volatility Index is owned by CBOE and may be covered by one or more patents or pending patent applications.




CBOE Volatility Index (VIX)