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Q.

What is Volatility Index?

Asked by Ankit Bhargava, 21 Jun '08 11:32 pm
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Answers (3)

 
1.

The ticker symbol for the Chicago Board Options Exchange (CBOE) Volatility Index, which shows the market's expectation of 30-day volatility. It is constructed using the implied volatilities of a wide range of S&P 500 index options. This volatility is meant to be forward looking and is calculated from both calls and puts. The VIX is a widely used measure of market risk and is often referred to as the "investor fear gauge".

There are three variations of volatility indexes: the VIX tracks the S&P 500, the VXN tracks the Nasdaq 100 and the VXD tracks the Dow Jones Industrial Average.

The first VIX, introduced by the CBOE in 1993, was a weighted measure of the implied volatility of eight S&P 100 at-the-money put and call options. Ten years later, it expanded to use options based on a broader index, the S&P 500, which allows for a more accurate view of investors' expectations on future market volatility. VIX values greater than 30 are generally associated ...more
Answered by Rahul Bhatt, 21 Jun '08 11:35 pm

 
  
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2.

Volatility Index is a measure of markets expectation of volatility over the near term. Volatility is often described as the rate and magnitude of changes in prices and in finance often referred to as risk. Volatility Index is a measure, of the amount by which an underlying Index is expected to fluctuate, in the near term, (calculated as annualized volatility, denoted in percentage e.g. 20%) based on the order book of the underlying index options.

India VIX is a volatility index based on the Nifty 50 Index Option prices. From the best bid-ask prices of Nifty 50 Options contracts, a volatility figure (%) is calculated which indicates the expected market volatility over the next 30 calendar days.
For more details please download this artical.
http://www.nse-india.com/content/vix/vix_comp_meth.pdf
Hope this helps.
Cheers
Amer
Answered by amer, 22 Jun '08 04:03 am

 
  
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3.

VIX is the ticker symbol for the Chicago Board Options Exchange Volatility Index, a popular measure of the implied volatility of S&P 500 index options. Referred to by some as the fear index, it represents one measure of the market's expectation of volatility over the next 30 day period.

Answered by sudesh, 22 Jun '08 06:41 am

 
  
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