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Volatility indexes

by The trader, 5387 days ago
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This is a list of volatility-related indexes. The indexes are calculated by the Chicago board options exchange and are measures of the market expectation of the near-term volatility of the underlying securities.

These indexes track implicit volatility and their prices are calculated using the implicit volatility of the underlying security options call and put.
Unlike the historical volatility, any indicator or index that uses the implicit volatility could be considered as a leading indicator.
These indexes are quoted in percentage points, that is, if the S&P calculated implicit volatility is 25.22% then the VIX quote price is 25.22

Some of these volatility indexes have future ticker and thus can be traded on the CBOE. They can be used to profit from volatility or to hedge against it.
The list contains index ticker symbols as well as index names. The symbols are yahoo compatible, which means that historical end of day quotes can be downloaded using Yahoo EOD historical quotes.

Examples: (among the list of 12 indexes)
The ^VIX symbol whose name is: CBOE Volatility Index and which is probably the most popular one.
The ^VXD symbol whose name is: CBOE DJIA Volatility Index.
The ^OVX symbol whose name is: CBOE Crude Oil Volatility Index.
The ^GVZ symbol whose name is: CBOE Gold Volatility Index.

Among the tickers listed above, the ^VIX and the ^VXD have futures ticker (VX and DV).


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Type: List of Symbols

Object ID: 119


Country:
United States

Market: Stock Market

Style:
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