Tag Archives: CBOE Volatility Index
29 Years of VIX
In 1993, the Chicago Board Options Exchange (Cboe) announced the launch of the Cboe Market Volatility Index or VIX®, which provides market participants with a barometer to measure market sentiment. Since then, the index has become one of the most followed benchmarks. In commemoration for its 29th anniversary, we take a look at the evolution…
- Other Tags
Markets Remained Volatile, But History Shows Return to Calm
The Russia-Ukraine conflict is now in its third week and markets remain volatile. The major U.S. equity benchmarks dropped about 10% from their peaks, with the exception of the Energy sector. The CBOE Volatility Index (VIX®), the so-called “fear gauge,” has been hovering above 30, which is the 90th percentile of its historical value. Its…
- Other Tags
VIX® Dropped Below S&P 500® Realized Volatility
While everyone has been concerned about the inverted yield curve, the CBOE Volatility Index® (VIX) has been under the 21-trading-day realized volatility of the S&P 500 since Aug. 16, 2019. Since volatility traders care not only about what is expected but also what actually transpired, the spread between implied volatility and realized volatility is one…
- Categories Strategy
- Other Tags
- Categories
- Strategy
- Other Tags
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 –…
- Other Tags
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…
- Categories Factors, S&P 500 & DJIA, Strategy
- Other Tags
- Categories
- Factors, S&P 500 & DJIA, Strategy
- Other Tags
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…
- Categories Equities, S&P 500 & DJIA, Strategy
- Other Tags
- Categories
- Equities, S&P 500 & DJIA, Strategy
- Other Tags
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…
- Categories Commodities
- Other Tags
- Categories
- Commodities
- Other Tags
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)…