CBOE - Implied Volatility Indexes

#statistical-section#investing

VIX, VXD, VXN, RVX, VXO, VXV, VPD, VPN, GVZ, OVX, VXAPL, VXTH, LOVOL

The Chicago Board Options Exchange® (CBOE®) calculates and updates the prices of a number of implied volatility indexes:

TickerIndexWebsiteDelayed Quotes

| | | |
|—|—|—|
|Sym|Last|Pt. Change|
Volatility Indexes (Stock Indexes)
VIX®CBOE Volatility Index®www.cboe.com/VIX| | | |
|—|—|—|
|VIX|12.03|0.00|
VXN****SMCBOE NASDAQ Volatility Indexwww.cboe.com/VXN| | | |
|—|—|—|
|VXN|13.51|0.00|
VXO****SMCBOE S&P 100 Volatility Indexwww.cboe.com/VXO| | | |
|—|—|—|
|VXO|10.50|0.00|
VXD****SMCBOE DJIA Volatility Indexwww.cboe.com/VXD| | | |
|—|—|—|
|VXD|10.99|0.00|
RVX****SMCBOE Russell 2000 Volatility Indexwww.cboe.com/RVX| | | |
|—|—|—|
|RVX|16.99|0.00|
VXST****SMCBOE Short-Term Volatility Indexwww.cboe.com/VXST| | | |
|—|—|—|
|VXST|11.05|0.00|
VXV****SMCBOE 3-Month Volatility Indexwww.cboe.com/VXV| | | |
|—|—|—|
|VXV|14.23|0.00|
VXMT****SMCBOE Mid-Term Volatility Indexwww.cboe.com/VXMT| | | |
|—|—|—|
|VXMT|15.98|0.00|
Volatility Indexes (Interest Rates)
VXTYNCBOE/CBOT 10-year U.S. Treasury Note Volatility Indexwww.cboe.com/VXTYN| | | |
|—|—|—|
|VXTYN|4.85|0.00|
SRVXCBOE Interest Rate Swap Volatility Indexwww.cboe.com/SRVX| | | |
|—|—|—|
|SRVX|82.54|0.00|
ETF Volatility Indexes
OVXCBOE Crude Oil ETF Volatility Indexwww.cboe.com/OILVIX| | | |
|—|—|—|
|OVX|18.98|0.00|
GVZCBOE Gold ETF Volatility Indexwww.cboe.com/GVZ| | | |
|—|—|—|
|GVZ|15.50|0.00|
EVZCBOE EuroCurrency ETF Volatility Indexwww.cboe.com/EVZ| | | |
|—|—|—|
|EVZ|7.25|0.00|
VXEFACBOE EFA ETF Volatility Indexwww.cboe.com/VXEFA| | | |
|—|—|—|
|VXEFA|13.61|0.00|
VXEEMCBOE Emerging Markets ETF Volatility Indexwww.cboe.com/VXEEM| | | |
|—|—|—|
|VXEEM|18.00|0.00|
VXSLVCBOE Silver ETF Volatility Indexwww.cboe.com/VXSLV| | | |
|—|—|—|
|VXSLV|20.68|0.00|
VXFXICBOE China ETF Volatility Indexwww.cboe.com/VXFXI| | | |
|—|—|—|
|VXFXI|21.31|0.00|
VXGDXCBOE Gold Miners ETF Volatility Indexwww.cboe.com/VXGDX| | | |
|—|—|—|
|VXGDX|27.83|0.00|
VXEWZCBOE Brazil ETF Volatility Indexwww.cboe.com/VXEWZ| | | |
|—|—|—|
|VXEWZ|36.74|0.00|
VXXLECBOE Energy Sector ETF Volatility Indexwww.cboe.com/VXXLE| | | |
|—|—|—|
|VXXLE|17.24|0.00|
Volatility Indexes (Single Stocks)
VXAZNCBOE Equity VIX® on Amazonwww.cboe.com/VXAZN| | | |
|—|—|—|
|VXAZN|27.28|0.00|
VXAPLCBOE Equity VIX® on Applewww.cboe.com/VXAPL| | | |
|—|—|—|
|VXAPL|23.15|0.00|
VXGSCBOE Equity VIX® on Goldman Sachswww.cboe.com/VXGS| | | |
|—|—|—|
|VXGS|19.48|0.00|
VXGOGCBOE Equity VIX® on Googlewww.cboe.com/VXGOG| | | |
|—|—|—|
|VXGOG|24.14|0.00|
VXIBMCBOE Equity VIX® on IBMwww.cboe.com/VXIBM| | | |
|—|—|—|
|VXIBM|19.73|0.00|
Volatility of VIX
VVIXCBOE VIX of VIX Indexwww.cboe.com/VVIX| | | |
|—|—|—|
|VVIX|77.47|0.00|

CBOE's volatility indexes are key measures of market expectations of near-term volatility conveyed by option prices. The indexes measure the market's expectation of 30-day volatility implicit in the prices of near-term index options. The indexes are quoted in percentage points, just like the standard deviation of a rate of return, e.g. 19.36. CBOE disseminates the index values continuously during trading hours. The indexes are leading barometers of investor sentiment and market volatility relating to listed options.

Futures and Options on CBOE's Volatility Indexes
Listed options on volatility indexes are offered for trading on CBOE, while futures on volatility indexes are traded at the CBOE Futures Exchange (CFE).

Futures and options on the CBOE's volatility indexes have several features that distinguish them from most equity and index options. Here are links to unique features of VIX options
Pricing Based on Forward VIX Value
Pricing Can Be Different for a Number of Reasons
Wednesday Settlement
Special Opening Quotation Price
High Volatility of Volatility

Volume Charts

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Compendium/Compendium/IMAGES/Exported image 20260128091202-1

Other Volatility-related Indexes

TickerIndexWebsiteDelayed Quotes

| | | |
|—|—|—|
|Sym|Last|Pt. Change|
VPDCBOE VIX Premium Strategy Indexwww.cboe.com/VPD| | | |
|—|—|—|
|VPD|269.65|0.00|
VPNCBOE Capped VIX Premium Strategy Indexwww.cboe.com/VPN| | | |
|—|—|—|
|VPN|300.94|37.47|
VXTHCBOE VIX Tail Hedge Indexwww.cboe.com/VXTH| | | |
|—|—|—|
|VXTH|188.97|0.00|
LOVOLCBOE Low Volatility Indexwww.cboe.com/LOVOL| | | |
|—|—|—|
|LOVOL|176.30|0.00|
SKEWCBOE S&P 500 SKEW Indexwww.cboe.com/SKEW| | | |
|—|—|—|
|SKEW|142.10|0.00|
KCJCBOE S&P 500 Implied Correlation Index (fixed maturity)www.cboe.com/KCJ
ICJCBOE S&P 500 Implied Correlation Index (fixed maturity)www.cboe.com/ICJ| | | |
|—|—|—|
|ICJ|60.61|0.00|
JCJCBOE S&P 500 Implied Correlation Index (fixed maturity)www.cboe.com/JCJ| | | |
|—|—|—|
|JCJ|33.41|0.00|
VINCBOE SPX Near-term VIX Indexwww.cboe.com/VIN| | | |
|—|—|—|
|VIN|11.95|0.00|
VIFCBOE SPX Far-term VIX Indexwww.cboe.com/VIF| | | |
|—|—|—|
|VIF|13.11|0.00|
VWBCBOE VIX Indicative Bid Index| | | |
|—|—|—|
|VWB|11.12|0.00|
VWACBOE VIX Indicative Ask Index| | | |
|—|—|—|
|VWA|12.91|0.00|
VBEEMCBOE VXEEM Indicative Bid Index| | | |
|—|—|—|
|VBEEM|17.02|0.00|
VAEEMCBOE VXEEM Indicative Ask Index| | | |
|—|—|—|
|VAEEM|18.76|0.00|

Study on Volatility Index as a Diversification Tool
In 2007 the Fund Evaluation Group (FEG) consulting firm issued a new study entitled "Evaluation of BuyWrite and Volatility Indexes - Using the CBOE DJIA BuyWrite Index (BXD) and the CBOE DJIA Volatility Index (VXD) for Asset Allocation and Diversification Purposes." The paper studied the 109-month period from October 1997 to November 2006. The FEG study presented several findings on the 9-year performance of the VXD spot index, including:

  • Volatility Index Can Reduce Portfolio Volatility . Including a small (10%) allocation to the CBOE DJIA Volatility Index (VXD) could have reduced the volatility of an all-stock portfolio by about 26%, without materially affecting returns.
  • Low Correlation and Diversification . The VXD and the DJIA were inversely correlated (-0.62) over the course of this study. The study showed that VXD increased more during market declines (VXD reacted more to stock market declines than to stock market advances), indicating that VXD has potential as a diversification tool.
  • Impact on Risk-Adjusted Returns . The inclusion of a small (5%) allocation to the VXD Index boosted risk-adjusted returns for a stock-oriented portfolio, and lowered the risk-adjusted returns for a fixed-income-oriented portfolio.

Exhibit 14 of the FEG study showed the impact of adding 5% allocations of the VXD spot index to an all-stock DJIA portfolio. Please note that (1) the study used prices of the VXD spot index because long-term data on prices of VXD futures was not available, and (2) that the futures on volatility indexes often have had less price movement than the volatility spot indexes.

Volatility and Select Investment Instruments

Links to More Information about Volatility Indexes
VIX Options "Most Innovative" Award
VIX Options FAQ
VIX Options Quick Reference Guide
VIX Options Specifications
VIX Options Video on CBOETV Channel 3
VIX Options Daily Market Data
VIX Options Delayed Option Chain
VIX Options Strategy - Bullish on Implied Volatility - Buy VIX Call Option
VIX Options Strategy - Bearish on VIX - Put Spread with VIX Options
VIX Options Strategy - Reverse Collar
VIX Historical Price Data
VIX Futures Price and Volume Data
VIX Term Structure
VIX Price Charts
VIX White Paper
VIX Futures Primer
VIX Bibliography

Spreadsheets with Historical Price Data
Historical Daily Prices - Spreadsheet with Closing Prices for Several Indexes
Historical Month-end Prices - Spreadsheet with Closing Prices for Several Indexes
In addition, Market Data Express gives users access to more than 16 years of historical options data

Links to this page:

  1. Statistical Section
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