VVIX and SRVX Indexes Both Above 80 Today

A Bloomberg news story today by Cecile Vannucci and Nikolaj Gammeltoft noted that worries–

“… that U.S. stock volatility will increase have reached a three-year high on concern American companies are getting ready to report the first slump in profit since 2009.  There were 6.54 million calls on the Chicago Board Options Exchange Volatility Index and 2.34 million puts on April 4, according to data compiled by Bloomberg. The ratio jumped to 2.93-to-1 last month, the highest since March 2010. The VIX, tracking Standard & Poor’s 500 Index option prices, climbed 23 percent from its six-year low in March. …”

The Bloomberg news story referred to the VIX options “call/put” ratio (rather than the common put/call ratio) because the VIX options often have more volume in calls than in puts, particularly when the VIX Index is at low levels.



How does one track the implied volatility of VIX and other securities and asset classes?  CBOE’s now has 20 indexes that measure implied volatility.   At mid-day today –

The 3 highest indexes were –

  • VVIX                      CBOE VIX of VIX Index
  • SRVX                     CBOE Interest Rate Swap Volatility Index
  • VXAPL                   CBOE Equity VIX® on Apple

The 3 lowest indexes were —

  • GVZ                       CBOE Gold ETF Volatility Index
  • VIX                         CBOE Volatility Index®
  • VXD                       CBOE DJIA Volatility Index

For more information, please see the graphic below and visit www.cboe.com/volatility