The Rise and Fall of Volatility Indexes This Week

Most of CBOE’s volatility indexes had sharp rises yesterday (June 21st) – for example, VIX® was up 2.81 points; OVX up 2.86; VXEEM up 3.1; and VXSLV up 4.53 points. Many of the indexes have experienced significant ups and downs this week. The CBOE VIX of VIX Index (VVIX) was at around 102 the morning of June 22 www.cboe.com/VVIX

1. VOLATILITY OF VOLATILITY

After viewing the one-week charts in the section below, one might ask – is the volatility of volatility unusually high?

a. HISTORIC VOLATILITY. The 30-day historic volatility of the VIX spot index rose from 86.5 on May 29, 2012 to 126.6 yesterday (June 21) (according to Bloomberg).

b. IMPLIED VOLATILITY. The CBOE VIX of VIX Index (VVIX) is an indicator of the expected volatility of the 30-day forward price of the VIX, and the VVIX is derived from nearby VIX option prices. The VVIX closed at 105.47 yesterday (June 21), while the average level of the VVIX was 87.1 from January 2007 through May 2012 (visit www.cboe.com/VVIX for more information on the VVIX Index).

 

CBOE Emerging Markets ETF Volatility Index ("VXEEM"): www.cboe.com/VXEEM

 

CBOE Crude Oil Volatility Index (OVX)

www.cboe.com/OVX

 

CBOE Volatility Index® (VIX®) www.cboe.com/VIX

http://www.cboe.com/micro/vix/pricecharts.aspx

 

2. VOLATILITY INDEXES – PAGE WITH DELAYED QUOTES

The webpage www.cboe.com/volatility has delayed quotes for CBOE’s volatility indexes. Below is a screenshot of www.cboe.com/volatility from mid-day June 22 (which shows that many volatility indexes fell this morning).

 

 

 Matt Moran

 CBOE