and the VIX. Hulbert, Mark, "The Misuse of the Stock Market's Fear Index Barron's, October 7, 2011. Andersen, Torben.; Bollerslev, Tim (1998). 5, the goal is to estimate the implied volatility of S P 500 index options at an average expiration of 30 days. Even though the VIX is"d as a percentage rather than a dollar amount, multiple VIX-based derivative instruments are in existence (totaling roughly 4 Billion in AUM 8 including: VIX futures contracts, which began trading in 2004 exchange-listed VIX options, which began trading in February. Fleming, Jeff, Barbara Ostdiek, and Robert. The VIX is calculated and disseminated in real-time by the Chicago Board Options Exchange. "Improving Hedge Fund Risk Exposures by Hedging Equity Market Volatility, or How the VIX Ate My Kurtosis." The Journal of Trading. It's interesting to note that the VXN, which is the symbol for the implied volatility index of the Nasdaq 100 index, is even more bearish at the end of the summer of 2003. The expected volatility range for a single month can be calculated from this figure by dividing the VIX figure of 15 not by 12, but by 12 which would imply a range of /-.33 over the next 30-day period. " New Financial Instruments for Hedging Changes in Volatility Financial Analysts Journal, July/August 1989.

"VIX Futures and OptionsA Case Study of Portfolio Diversification During the 2008 Financial Crisis." (June 2009). Brenner, Menachem, and Galai, Dan. Empirically, VIX generally understates the true volatility, and the estimation errors considerably enlarge during volatile markets.

Journal of Derivatives 1 : 7184. Figure 2 - Daily VXN, oscillator and S P 500. Daigler, Robert., and Laura Rossi. The calculation explains that the VIX is simply Volatility times 100. 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. VIX futures based exchange-traded notes and exchange-traded funds, such as: S P 500 VIX Short-Term Futures ETN ( nyse : VXX ) and S P 500 VIX Mid-Term Futures ETN ( nyse : VXZ ) launched by Barclays iPath in February 2009. In 1986, Brenner and Galai proposed the creation of a series of volatility analisi tecnica studio opzioni binarie in tempo reale indices, beginning with an index on stock market volatility, and moving to interest rate and foreign exchange rate volatility to the American Stock Exchange. Chow, Jiang and Li (2014) demonstrated that without imposing any structure on the underlying forcing process, the model-free VIX does not measure market expectation of volatility but that of a linear moment-combination. 17 18 VIX should have predictive power as long as the prices computed by the Black-Scholes equation are valid assumptions about the volatility predicted for the future lead time (the remaining time to maturity).