# CBOE Volatility Indexes

The Chicago Board Options Exchange (CBOE) calculates and updates the prices of a number of volatility-related indexes, each of which is a key measure of market expectations of near-term volatility conveyed by stock index option prices.^{[1]} The VIX, introduced at CBOE in 1993, and other volatility contracts have become a highly successful contract group for CBOE. Through the middle of 2007, open interest in VIX options was some 1.7 million contracts, with roughly 1.2 million constituting calls. ^{[2]}

VIX options are offered for trading on CBOE, while futures on four of the volatility indexes are traded at the CBOE Futures Exchange(CFE®).

These volatility 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.

## CBOE Volatility Products[edit]

**Equity Indexes**

- CBOE Volatility Index (VIX)
- CBOE DJIA Volatility Index (VXD)
- CBOE NASDAQ Volatility Index (VXN)
- CBOE Russell 2000 Volatility Index (RVX)
- CBOE S&P 100 Volatility Index (VXO)
- CBOE S&P 500 VARB-X Strategy Benchmark(VTY)
- CBOE S&P 500 3-Month Volatility Index (VXV)
- CBOE VIX Premium Strategy Index (VPD)
- CBOE Capped VIX Premium Strategy Index (VPN)

**Futures Indexes**

- CBOE Volatility Index (VX)
- CBOE DJIA Volatility Index (DV)
- CBOE NASDAQ-100 Volatility Index (VN)
- CBOE Russell 2000 Volatility Index (VR)

## Awards for VIX Products[edit]

- 2006 Leader in Options Innovation, Options on the CBOE Volatility Index for Most Innovative Index Derivative Award: 2006 Super Bowl of Indexing Conference

- 2004 Leader in Futures Innovation for the CBOE Volatility Index Futures (Most Innovative Index Derivative Award): 2004 Super Bowl of Indexing Conference

## Resources[edit]

- Also see CBOE index options for a full listing of indexes traded on CBOE.

- CBOE Volatility Microsite [1]

## References[edit]

- ↑ CBOE Volatility Indexes. Chicago Board Options Exchange.
- ↑ "THE STRIKING PRICE, LAWRENCE G. MCMILLAN, Modern Portfolio Protection”. Dow Jones.