Sentences with phrase «volatility index measures»

The CBOE Market Volatility Index measures market expectations of near - term volatility conveyed by S&P 500 stock index option prices.

Not exact matches

Traders are instead using the 44 % single - day spike in the CBOE Volatility Index — or VIX — as a reason to pile into wagers that the measure will come back down.

The chart shows the number of transactions in Treasury bonds divided by the MOVE index, or Merrill Lynch Option Volatility Estimate, which measures Treasury market vVolatility Estimate, which measures Treasury market volatilityvolatility.

Formally called the Cboe Volatility Index, the VIX measures market expectations of near - term volatility conveyed by S&P 500 stock index optiVolatility Index, the VIX measures market expectations of near - term volatility conveyed by S&P 500 stock index option prIndex, the VIX measures market expectations of near - term volatility conveyed by S&P 500 stock index optivolatility conveyed by S&P 500 stock index option prindex option prices.

Volatility, as measured by the CBOE Crude Oil Volatility Index, has fallen in 2017.

This wasn't unexpected, since the market was rising in just the right mix of conditions: Volatility as measured by the Cboe's index was at historic lows, the GOP was set to pass the most comprehensive corporate - tax reform in decades, and economies around the world were in growth mode.

The most common measure used to assess volatility in the U.S. is the VIX index, which has been persistently at low levels for the past year.

The market volatility index, otherwise known as the VIX and even better known as the fear gauge — a measure of the expected volatility of U.S. stocks — has surged to the highest level in more than two years.

The VIX Index, which measures U.S. stock market volatility, stood near 27 on Friday, down from a mid-week peak above 33.

The CBOE Market Volatility Index ($ VIX) is a contrarian index that essentially measures the level of fear in the market at any given time (which is based on market voVolatility Index ($ VIX) is a contrarian index that essentially measures the level of fear in the market at any given time (which is based on market volatilIndex ($ VIX) is a contrarian index that essentially measures the level of fear in the market at any given time (which is based on market volatilindex that essentially measures the level of fear in the market at any given time (which is based on market volatilityvolatility).

The VIX Index, which measures the implied volatility of the S&P 500 Index, is now hovering near 20 — double its January low.

The reality is that rising volatility as measured by the CBOE Volatility Index, or VIX, «is only a reflection of volatile movements in the market — it is not a predictor of future returns,» David Kotok, the head of Cumberland Advisors, sent in a Friday note written by Leo Chen Ph.D. to the wealth management firm'volatility as measured by the CBOE Volatility Index, or VIX, «is only a reflection of volatile movements in the market — it is not a predictor of future returns,» David Kotok, the head of Cumberland Advisors, sent in a Friday note written by Leo Chen Ph.D. to the wealth management firm'Volatility Index, or VIX, «is only a reflection of volatile movements in the market — it is not a predictor of future returns,» David Kotok, the head of Cumberland Advisors, sent in a Friday note written by Leo Chen Ph.D. to the wealth management firm's clients.

Looking at monthly Bloomberg data from 1994 to the present, changes in the VIX Index, a measure of U.S. equity volatility, explain nearly 20 % of the variation in the relative return between gold and the S&P 500 Index.

The CBOE Volatility Index, known by its ticker symbol VIX, is a popular measure of the stock market's expectation of volatility implied by S&P 500 index options, calculated and published by the Chicago Board Options ExchanVolatility Index, known by its ticker symbol VIX, is a popular measure of the stock market's expectation of volatility implied by S&P 500 index options, calculated and published by the Chicago Board Options Exchange (CIndex, known by its ticker symbol VIX, is a popular measure of the stock market's expectation of volatility implied by S&P 500 index options, calculated and published by the Chicago Board Options Exchanvolatility implied by S&P 500 index options, calculated and published by the Chicago Board Options Exchange (Cindex options, calculated and published by the Chicago Board Options Exchange (CBOE).

Market volatility — as measured by the VIX (the so - called «fear index»)-- surged 80 % in the first quarter of the year.

One measure of stock volatility, the Chicago Board Options Exchange (CBOE) Volatility Index (VIX), had been unusually lovolatility, the Chicago Board Options Exchange (CBOE) Volatility Index (VIX), had been unusually loVolatility Index (VIX), had been unusually low in 2017.

Meanwhile, the CBOE volatility index (which measures option premium costs and is a very good intermediate - term indicator) remains at an uncharacteristically low 20 % reading, with virtually no increase during the recent selloff.

Since then, U.S. equity market volatility has continued to decline; last week, the VIX Index — a commonly used measure of equity volatility — dropped below 11, the lowest level since the summer of 2014, before the U.S. travel ban - related selloffs sent the index climbing earlier this week to neaIndex — a commonly used measure of equity volatility — dropped below 11, the lowest level since the summer of 2014, before the U.S. travel ban - related selloffs sent the index climbing earlier this week to neaindex climbing earlier this week to near 13.

In their October 2009 paper entitled «Risk Sentiment Index (RSI) and Market Anomalies», Guy Kaplanski and Haim Levy introduce the Risk Sentiment Index (RSI) as a measure of the residual risk contained in VIX after accounting for the statistical and economic variables most predictive of future stock market volatility (such as previous month actual volatility and VIX).

Our proprietary Block Tribune Volatility Index is a measure of daily price variability compared with variability over the prior 30 days.

Does the U.S. stock market volatility risk premium (VRP), measured as the difference between the volatility implied by stock index option prices recent actual index volatility, usefully predict stock market returns?

The VIX index — Wall Street's so - called «fear gauge» because it measures how much volatility investors expect in the future — had spiked above 50 early Tuesday, quadruple where it was about two weeks ago, before settling at 25 late Wednesday and them ramping up to 34 by late Thursday.

Meanwhile, implied volatility is near its lowest level in 25 years, as measured by the MOVE index, which tracks volatility in one - month options on Treasury futures.

[1] The Chicago Board of Exchange (CBOE) Volatility Index (VIX) measures expectations of 30 - day volatility, based on the implied volatilities of a range of S&P 500 indeVolatility Index (VIX) measures expectations of 30 - day volatility, based on the implied volatilities of a range of S&P 500 index optIndex (VIX) measures expectations of 30 - day volatility, based on the implied volatilities of a range of S&P 500 indevolatility, based on the implied volatilities of a range of S&P 500 index optindex options.

For most of the first three months the VIX Index, a common measure of equity volatility, traded somewhere between 11 and 13, well below its historical average of 20.

Unlike beta, which simply measures volatility, alpha measures a portfolio manager's ability to outperform a market index.

You can even measure how volatile investors expect the market to be using indicators like VIX, which is the Chicago Board Options Exchange Market Volatility Index.

They are designed to track the performance of sectors, commodities, bonds, currencies, indices and measures of volatility.

One measure of U.S. stock - market volatility is the Chicago Board Options Exchange Volatility Indevolatility is the Chicago Board Options Exchange Volatility IndeVolatility Index, or VIX.

Volatility, as measured by the Chicago Board Options Exchange Volatility Index (VIX), jumped as high as 15.50 at midweek before slipping to 11.90 on Friday.

Volatility, as measured by the Chicago Board Options Exchange Volatility Index (VIX), rose to 11.75 from 10.9 last week.

Volatility, as measured by the Chicago Board Options Exchange Volatility Index (VIX), declined to 9.50 from 10.8 last week.

The VIX, a measure of the expected equity - market volatility as determined by put and call prices on S&P 500 Index options, trailed lower in 2017 and remains well below its historical average.

Volatility, as measured by the Chicago Board Options Exchange Volatility Index (VIX), slipped to 10.30 from 10.80 last Friday.

Volatility, as measured by the Chicago Board Options Exchange Volatility Index (VIX), slipped to 16.5 from 18 last week.

Volatility, as measured by the Chicago Board Options Exchange Volatility Index (VIX), rose to 11.00 from 9.9 a week ago.

Since the start of February equity volatility, as measured by the VIX Index, has averaged nearly 21.

A measure of the fund's volatility relative to the market, as represented by the Citigroup World Government Bond Index.

The volatility measure on the S&P 500 Index option.

The S&P 500 Dynamic VIX Futures Total Return Index measures the performance of Volatility securities and is selected by a Single Asset process.

Volatility, as measured by the Chicago Board Options Exchange Volatility Index (VIX), was little changed at 11.7.

The SKEW index measures perceived volatility in financial markets.

Volatility, as measured by the Chicago Board Options Exchange Volatility Index (VIX), slipped to 9.6 from 10 a week ago.

Volatility, as measured by the Chicago Board Options Exchange Volatility Index (VIX), edged up to 12 from 10.9.

«Identifying VXX / XIV Tendencies» finds that S&P 500 implied volatility index (VIX) futures roll return, as measured by the percentage difference in settlement price between the nearest and next nearest VIX futures, may be a useful predictor of iPath S&P 500 VIX Short - term Futures ETN (VXX) and VelocityShares Daily Inverse VIX Short - term ETN (XIV) returns.

Scrambling to hedge their positions against further losses, investors bid up the prices of options, leading to the surge in the VIX, a gauge that measures the implied volatility of near - term S&P 500 index options.

The perceived threat reflected in the South Korean stock market, measured by the latest rise in the volatility index of the KOSPI 200, has been relatively small compared to the flare ups in recent years.

One such method, tracking error volatility, measures the standard deviation of the difference between a manager's returns and the index returns.

For example, according to data from MSCI, the MSCI USA Minimum Volatility (USD) index's Sharpe ratio, a common way to measure risk - adjusted returns, was 0.61 for the last ten years, above the benchmark MSCI USA Index's 0.44 rindex's Sharpe ratio, a common way to measure risk - adjusted returns, was 0.61 for the last ten years, above the benchmark MSCI USA Index's 0.44 rIndex's 0.44 ratio.

I also have had a lower amount of volatility (as measured by standard deviation of day - over-day returns) then my benchmark index (the S&P / TSX Composite Inindex (the S&P / TSX Composite IndexIndex).