VOLATILITY INDEXES AT CBOE
Premier Barometers of Investor Sentiment and Market Volatility
The Chicago Board Options Exchange® (CBOE®)
calculates and updates the values of at least
29 indexes designed to measure the expected
volatility of different securities. These volatility
indexes are key measures of market expectations
of near-term volatility conveyed by listed option
prices. Futures and options contracts now are
available on some of these volatility indexes. The
CBOE Volatility Index® (VIX®) is the world’s most
widely followed barometer of investor sentiment
and market volatility.
VIX® AND S&P 500® INDEXES
Daily Closing Values (Jan. 1990 - Jan. 7, 2016)
90
2250
SPX
60
1500
SPX
VIX Daily Close
High close 80.86 on
20-Nov-08
VIX
30
0
www.cboe.com/volatility
750
Jan-90
Dec-95
Dec-01
Dec-07
Dec-13
0
VIX® INDEX – AVERAGE DAILY CLOSING VALUE PER YEAR (1990 – 2014)
12.8
17.5
2005
2006
2007
2015
12.8
2004
16.7
15.5
2003
2014
22.0
2002
14.2
27.3
2001
2013
25.7
2000
14.2
23.3
1999
2012
24.4
1998
17.8
25.6
1997
2011
22.4
1996
24.2
16.5
1995
2010
12.4
1994
22.5
13.9
1993
2009
12.7
1992
31.5
15.4
1991
2008
18.4
1990
32.7
23.1
Daily Closing Values
Source: CBOE and Bloomberg
100
TWO VOLATILITY INDEXES
(2008 - 2015)
RVX - CBOE Russell 2000 Volatility Index
50
0
Jan-08
1,000,000
VIX - CBOE Volatility Index
Jan-09
Jan-10
Jan-11
Jan-12
Jan-13
Jan-14
Jan-15
VIX OPTIONS
990,289
(2008 - 2015)
Avg. Daily Volume per Month
Jan-08
500,000
Jan-09
Jan-10
Jan-11
Jan-12
Jan-13
VIX FUTURES
Jan-14
Jan-15
323,761
(2008 - 2015)
Avg. Daily Volume per Month
Jan-08
Jan-09
Jan-10
Jan-11
Jan-12
Jan-13
Jan-14
Jan-15
Sources: Bloomberg, CBOE, CFE, www.cboe.com/VIX
www.cboe.com/Volatility
01/2016
VOLATILITY INDEXES AT CBOE
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CBOE INDEXES THAT MEASURE EXPECTED VOLATILITY
Index
Ticker
Webpage
Futures and Options?*
Volatility Indexes (Stock Indexes) CBOE Volatility Index®VIX®
CBOE S&P 100 Volatility Index
VXO
CBOE Nasdaq-100 Volatility Index
VXN
CBOE DJIA Volatility Index
VXD
CBOE Russell 2000 Volatility Index
RVX
CBOE 3-Month Volatility Index
VXV
CBOE Mid-Term Volatility Index
VXMT
www.cboe.com/VIX
www.cboe.com/VXO
www.cboe.com/VXN
www.cboe.com/VXD
www.cboe.com/RVX
www.cboe.com/VXV
www.cboe.com/VXMT
FO
FO
Volatility Indexes (Interest Rates)
CBOE/CBOT 10-year U.S. Treasury Note Volatility Index
CBOE Interest Rate Swap Volatility Index
TYVIX
SRVX
www.cboe.com/TYVIX
www.cboe.com/SRVX
F
Volatility Indexes (Currency Futures)
CBOE/CME FX Euro Volatility Index
CBOE/CME FX Yen Volatility Index
CBOE/CME FX British Pound Volatility Index
EUVIX
JYVIX
BPVIX
www.cboe.com/FX
www.cboe.com/FX
www.cboe.com/FX
Volatility Indexes (ETFs)
CBOE Crude Oil Volatility Index CBOE Gold Volatility Index
CBOE EuroCurrency Volatility Index
CBOE EFA ETF Volatility Index
CBOE Emerging Markets ETF Volatility Index
CBOE China ETF Volatility Index
CBOE Brazil ETF Volatility Index
CBOE Silver ETF Volatility Index
CBOE Gold Miners ETF Volatility Index
CBOE Energy Sector ETF Volatility Index
OVX
GVZ
EVZ
VXEFA
VXEEM VXFXI VXEWZ VXSLV VXGDX VXXLE www.cboe.com/OVX
www.cboe.com/GVZ
www.cboe.com/EVZ
www.cboe.com/VXEFA
www.cboe.com/VXEEM www.cboe.com/VXFXI www.cboe.com/VXEWZ www.cboe.com/VXSLV www.cboe.com/VXGDX www.cboe.com/VXXLE Volatility Indexes (Single Stocks)
CBOE Equity VIX® on Amazon
CBOE Equity VIX® on Apple CBOE Equity VIX® on Goldman Sachs
CBOE Equity VIX® on Google
CBOE Equity VIX® on IBM
VXAZN VXAPL VXGS VXGOG VXIBM www.cboe.com/VXAZN www.cboe.com/VXAPL www.cboe.com/VXGS www.cboe.com/VXGOG www.cboe.com/VXIBM Volatility of VIX
CBOE VIX of VIX Index
VVIX
www.cboe.com/VVIX
* CBOE offers futures and options on a number of volatility indexes, with unique pricing and settlement on Wednesdays. The lists above are subject to change.
Daily Closing Values
40
30
VOLATILITY INDEXES - CURRENCIES AND INTEREST RATES
(Feb. 2008 - Dec. 2015)
EUVIX - CBOE/CME FX
Euro Volatility Index
20
10
0
Feb-08
Feb-09
Feb-10
Feb-11
Feb-12
Feb-13
Feb-14
Feb-15
TYVIX - CBOE/CBOE 10Year U.S. Treasury Note
Volatility Index
Sources: Bloomberg and www.cboe.com/volatility
Options involve risk and are not suitable for all investors. Prior to buying or selling an option, a person must receive a copy of Characteristics and Risks of Standardized
Options. Copies are available from your broker, by calling 1-888-OPTIONS, or from The Options Clearing Corporation, One North Wacker Drive, Suite 500, Chicago, Illinois
60606. Futures trading is not suitable for all investors and involves risk of loss. The information in this document is provided solely for general education and information
purposes. Past performance is not indicative of future results. No statement within this document should be construed as a recommendation to buy or sell a security or
future or to provide investment advice. Supporting documentation for any claims, comparisons, statistics, or other technical data, will be supplied upon request. CBOE®,
ChicagoBoard Options Exchange®, CBOE Volatility Index®, CFE®, and VIX® are registered trademarks and SPX and VXST are service marks of Chicago Board Options
Exchange, Incorporated (CBOE). S&P®, S&P 100® and S&P 500® are registered trademarks of Standard & Poor’s Financial Services, LLC and are licensed for use by
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January 2016