Sentences with phrase «implied measure of volatility»

Not exact matches

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

Our paper examines a comprehensive suite of volatility measures including actual volatility, volatility implied by option pricing, beta, credit default spreads, preferred stock yields and earnings price ratios.

The chart below depicts realized stock market volatility and the VIX measure of expected volatility as implied by options.

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 Exchanvolatility implied by S&P 500 index options, calculated and published by the Chicago Board Options Exchange (CBOE).

[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 indevolatility, based on the implied volatilities of a range of S&P 500 index options.

A measure of implied volatility known as the CBOE VIX fell back nearly 5 % on Wednesday.

Furthermore, there had been a significant rise in hedging activity leading into the event, with a spike in the cost of such hedges as measured by implied option volatility.

Still, the sudden slide means implied volatility — a measure of expected swings priced in options contracts — has soared.

This metric measures the implied or expected volatility in the stock market (as reflected in S&P 500 options) over the next 30 days, and is one of the main indicators used by traders today of market volatility.

The implied volatility from a currency option is a measure of the variability that the market sees in future movements in the exchange rate over the life of the option contract.

«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.

A measure of implied volatility known as the CBOE VIX surged this week, reaching its highest level since Oct. 26.

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.

One of the best ways to measure fear and complacency is to measure implied volatility.

In the first half of 2017, equity markets across the world were characterized by low volatility, both in realized terms and in implied measures such as VIX ®.

The Chicago Board Options Exchange Volatility Index (VIX) is a forward - looking index that measures the implied volatility of the S&P Volatility Index (VIX) is a forward - looking index that measures the implied volatility of the S&P volatility of the S&P 500 Index.

To investigate, we consider two measures of U.S. stock market volatility: (1) realized volatility, calculated as the standard deviation of daily S&P 500 Index return over the last 21 trading days (annualized); and, (2) implied volatility as measured by the Chicago Board Options Exchange Market Volatility Involatility: (1) realized volatility, calculated as the standard deviation of daily S&P 500 Index return over the last 21 trading days (annualized); and, (2) implied volatility as measured by the Chicago Board Options Exchange Market Volatility Involatility, calculated as the standard deviation of daily S&P 500 Index return over the last 21 trading days (annualized); and, (2) implied volatility as measured by the Chicago Board Options Exchange Market Volatility Involatility as measured by the Chicago Board Options Exchange Market Volatility InVolatility Index (VIX).

The CBOE Volatility Index ® (VIX) measures the implied volatility of the S&P 500 ® over a 30 - dVolatility Index ® (VIX) measures the implied volatility of the S&P 500 ® over a 30 - dvolatility of the S&P 500 ® over a 30 - day period.

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 Exchanvolatility implied by S&P 500 index options, calculated and published by the Chicago Board Options Exchange (CBOE).

Vega measures the effect of a one - point move in implied volatility.

Specifically, we'll define implied volatility, explain its relationship to probability, and demonstrate how it measures the odds of a successful trade.

The VIX measures the implied volatility of the options on the ticker SPX (which tracks the S&P 500).

That will manifest itself in option implied volatility, which is a crude measure of what people would pay to gain and lose exposure to the equity of the company.

A measure of implied volatility known as the CBOE VIX reached a high of 24.51.

A measure of implied volatility known as the CBOE VIX surged 18.3 % to close at 23.62, its highest in over a week.

A measure of implied volatility known as the CBOE VIX surged this week, reaching its highest level since Oct. 26.