Tag Archives: CBOE Volatility Index

A new volatility regime? VIX® don’t think so!

Global equity markets experienced a challenging February.  A U.S.-led selloff triggered a spike in volatility; the Cboe Volatility Index (VIX) recorded its largest ever daily increase on February 5 to reach its highest level since August 2015. But is higher volatility here to stay? Towards the end of last year, we published a paper – Read more […]

Examining Low Volatility’s Performance in Various Market Environments

Rates, volatility and a broad market rally have contributed to the factor’s late-summer slump Late summer has not been fruitful for the low volatility factor. From July 6 to Sept. 9, the S&P 500 Low Volatility Index has fallen by 4.67%, while the S&P 500 Index gained 1.70%.1 This is in sharp contrast to the Read more […]

The bad kind of volatility?

Markets across the globe were rocked by volatility from sources new and old last month. The old was a play-by-play repeat of the “taper tantrum” as capital fled from emerging markets in anticipation of a September date for the first rise in U.S. rates since 2006. The new was triggered by evidence that the rollercoaster Read more […]

Hedging With Volatility Is Not Just For Stocks

The CBOE Volatility Index, or what many investors have come to know as VIX, is the index many follow as a volatility indicator for the stock market. The benefit besides printing the “implied” or expected volatility for prices over the next 30 days, giving a range of expected prices 30 days from now, is that it Read more […]

What’s a Normal VIX Level?

Someone asked me this last week: “What’s a normal or typical VIX level?”  That’s a good question.  Here is the answer: 20.2. And 17.1. And also 13.0. Before I go into why it takes at least three numbers to answer this question, let me remind you that the history of the CBOE Volatility Index (VIX) Read more […]