This page was last edited on 2 January , at Archived copy as title Use mdy dates from December Articles needing additional references from August All articles needing additional references Official website different in Wikidata and Wikipedia. For other uses, see Vix disambiguation.
The transition to float-adjusted capitalization-weighting was made in two steps, the first on March 18, and the second on September 16, Additionally, to remain indicative of the U. To prevent the value of the Index from changing merely as a result of corporate financial actions, all such actions affecting the market value of the Index require a divisor adjustment.
There is a large range of different corporate actions that can require the divisor to be adjusted. These are listed in the table below: However, the Divisor's value is approximately 8. The divisor is adjusted in the case of stock issuance, spin-offs or similar structural changes, to ensure that such events do not in themselves alter the numerical value of the Index.
The index value is updated every 15 seconds during trading sessions and is disseminated by Reuters America, Inc. In contrast with the median return or the mean return, the CAGR is the measurement of the actual return achieved over the number of years being studied.
The current total rate of return including dividends CAGR through is The rate of return without dividends, or just on the index itself through is 8. From Wikipedia, the free encyclopedia. This section needs additional citations for verification. Please help improve this article by adding citations to reliable sources. Unsourced material may be challenged and removed. August Learn how and when to remove this template message. Retrieved January 20, Retrieved 16 December Retrieved June 11, Retrieved December 16, Retrieved 19 May Retrieved February 9, Retrieved May 27, The New York Times.
The Wall Street Journal. Retrieved April 4, Bulls continue record run — Nov. Archived from the original on December 23, Retrieved December 23, Stocks Notch Weekly Gains". Archived from the original PDF on November 6, Archived from the original PDF on March 5, Retrieved January 13, Retrieved March 28, Retrieved September 13, Major United States stock market indices. Major American stock market indices.
Of course, there is nothing unique about using stock index option prices. Gold option prices can be used to infer gold market volatility, bond option prices can be used to infer bond market volatility, crude oil option prices can be used to infer crude oil market volatility, and so on.
In , Brenner and Galai   discussed the creation of a series of volatility indices, beginning with an index on stock market volatility, and moving to interest rate and foreign exchange rate volatility. The VIX concept formulates a theoretical expectation of stock market volatility in the near future.
Options are ignored if their bid prices are zero or where their strike prices are outside the level where two consecutive bid prices are zero. The VIX is the volatility of a variance swap and not that of a volatility swap volatility being the square root of variance, or standard deviation. On February 24, , it became possible to trade options on the VIX. Several exchange-traded funds hold mixtures of VIX futures that enable stock-like trading in volatility.
The calendar day approach does not account for the number trading days in a calendar year that is, the fact that markets are not open on weekends or holidays. Trading days typically amount to days out of a given calendar year. The price of call and put options can be used to calculate implied volatility, because volatility is one of the factors used to calculate the value of these options.
Higher volatility of the underlying security makes an option more valuable, because there is a greater probability that the option will expire in the money i. Thus, a higher option price implies greater volatility, other things being equal. In practical terms, when investors anticipate large upside volatility, they are unwilling to sell upside call stock options unless they receive a large premium.
Option buyers are willing to pay such high premiums only if similarly anticipating a large upside move. The resulting aggregate of increases in upside stock option call prices raises the VIX just as the aggregate growth in downside stock put option premiums that occurs when option buyers and sellers anticipate a likely sharp move to the downside.
When the market is believed as likely to soar as to plummet, writing any option that will cost the writer in the event of a sudden large move in either direction may look equally risky.
Hence high VIX readings mean investors see significant risk that the market will move sharply, whether downward or upward. The highest VIX readings occur when investors anticipate that huge moves in either direction are likely. Only when investors perceive neither significant downside risk nor significant upside potential will the VIX be low. VIX is sometimes criticized as a prediction of future volatility.
It instead is a measure of the current price of index options. Despite their sophisticated composition, critics claim the predictive power of most volatility forecasting models is similar to that of plain-vanilla measures, such as simple past volatility.
Some practitioners and portfolio managers seem to ignore or dismiss volatility forecasting models.