Or consider that
every implied volatility measure under the sun is through the roof in ways that we haven't seen since 1987.
You can still see the systemic risk in the TED spread (over 160 bp), and other option
implied volatility measures.
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 Exchan
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 Exchan
volatility implied by S&P 500 index options, calculated and published by the Chicago Board Options Exchange (CBOE).
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?
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 inde
Volatility Index (VIX)
measures expectations of 30 - day
volatility, based on the implied volatilities of a range of S&P 500 inde
volatility, 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 In
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 In
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 In
volatility as
measured by the Chicago Board Options Exchange Market
Volatility In
Volatility Index (VIX).
The CBOE
Volatility Index ® (VIX) measures the implied volatility of the S&P 500 ® over a 30 - d
Volatility Index ® (VIX)
measures the
implied volatility of the S&P 500 ® over a 30 - d
volatility 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 Exchan
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 Exchan
volatility 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).
In this example, the rise in
implied option
volatility prior to the signal date — as
measured objectively using the VIX index — served two purposes:
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.