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Non-Tech : NOTES
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To: Jim Willie CB who wrote (1347)8/30/2001 12:11:14 PM
From: stomper  Read Replies (2) of 2505
 
CBOE Volatility Index - VIX™
One measure of the level of implied volatility in index options is CBOE's Volatility Index, known by its ticker symbol VIX. VIX, introduced by CBOE in 1993, measures the volatility of the U.S. equity market. It provides investors with up-to-the-minute market estimates of expected volatility by using real-time OEX index option bid/ask quotes. This index is calculated by taking a weighted average of the implied volatilities of eight OEX calls and puts. The chosen options have an average time to maturity of 30 days. Consequently, the VIX is intended to indicate the implied volatility of 30-day index options. It is used by some traders as a general indication of index option implied volatility.

cboe.com
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