Abstract

http://ssrn.com/abstract=1296743
 
 

References (6)



 
 

Citations (12)



 


 



Understanding VIX


Robert E. Whaley


Vanderbilt University - Finance

November 6, 2008


Abstract:     
In the recent weeks of market turmoil, financial news services have begun routinely reporting the level of the CBOE's Market Volatility Index or "VIX", for short. While this new practice is healthy in the sense that investors are asking for more information in helping to assess the state of the current economic environment and to guide through turbulent waters, it is important to understand exactly what the index means in order to fully capture its usefulness and to avoid misunderstanding and misconception. The purpose of paper is to describe the VIX and its history and purpose, and to explain how it fits within the array of indexes that help describe where the economic stands relative to other points in recent decades.

Number of Pages in PDF File: 13

Keywords: VIX, market volatitility, fear gauge, barometer of fear

JEL Classification: G13, G14

working papers series


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Date posted: November 9, 2008 ; Last revised: December 8, 2008

Suggested Citation

Whaley, Robert E., Understanding VIX (November 6, 2008). Available at SSRN: http://ssrn.com/abstract=1296743 or http://dx.doi.org/10.2139/ssrn.1296743

Contact Information

Robert E. Whaley (Contact Author)
Vanderbilt University - Finance ( email )
401 21st Avenue South
Nashville, TN 37203
United States
615-343-7747 (Phone)
615-376-8879 (Fax)

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