Personal tools

Volatility

DukeUniversity_IMG1201
(Duke University - Cheng-Yu Chen)

 

Volatility measures the frequency and magnitude of price movements, both up and down, that a financial instrument experiences over a certain period of time. The more dramatic the price swings in that instrument, the higher the level of volatility. Volatility can be measured using actual historical price changes (realized volatility) or it can be a measure of expected future volatility that is implied by option prices. 

Market volatility can be seen through the Volatility Index (VIX). The VIX Index is a measure of expected future volatility. A high reading on the VIX implies a risky market.

Please refer to the CBOE Volatility Index (VIX Index) for more details.

 

VIX - CBOE Volatility Index

 

The VIX was created by the Chicago Board of Options Exchange (CBOE). The Volatility Index, or VIX, is a real-time market index that represents the market's expectation of 30-day forward-looking volatility. Derived from the price inputs of the S&P 500 index options, it provides a measure of market risk and investors' sentiments. It is also known by other names like "Fear Gauge" or "Fear Index." Investors, research analysts and portfolio managers look to VIX values as a way to measure market risk, fear and stress before they take investment decisions. 

Please refer to VIX - CBOE Volatility Index for more details.

 

 

[More to come ...]



Document Actions