Vix index chart

Vix index chart DEFAULT

Markets

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Sours: https://www.wsj.com/market-data/quotes/index/US/VIX

Markets

Stocks: Real-time U.S. stock quotes reflect trades reported through Nasdaq only; comprehensive quotes and volume reflect trading in all markets and are delayed at least 15 minutes. International stock quotes are delayed as per exchange requirements. Fundamental company data and analyst estimates provided by FactSet. Copyright © FactSet Research Systems Inc. All rights reserved. Source: FactSet

Indexes: Index quotes may be real-time or delayed as per exchange requirements; refer to time stamps for information on any delays. Source: FactSet

Markets Diary: Data on U.S. Overview page represent trading in all U.S. markets and updates until 8 p.m. See Closing Diaries table for 4 p.m. closing data. Sources: FactSet, Dow Jones

Stock Movers: Gainers, decliners and most actives market activity tables are a combination of NYSE, Nasdaq, NYSE American and NYSE Arca listings. Sources: FactSet, Dow Jones

ETF Movers: Includes ETFs & ETNs with volume of at least 50,000. Sources: FactSet, Dow Jones

Bonds: Bond quotes are updated in real-time. Sources: FactSet, Tullett Prebon

Currencies: Currency quotes are updated in real-time. Sources: FactSet, Tullett Prebon

Commodities & Futures: Futures prices are delayed at least 10 minutes as per exchange requirements. Change value during the period between open outcry settle and the commencement of the next day's trading is calculated as the difference between the last trade and the prior day's settle. Change value during other periods is calculated as the difference between the last trade and the most recent settle. Source: FactSet

Data are provided 'as is' for informational purposes only and are not intended for trading purposes. FactSet (a) does not make any express or implied warranties of any kind regarding the data, including, without limitation, any warranty of merchantability or fitness for a particular purpose or use; and (b) shall not be liable for any errors, incompleteness, interruption or delay, action taken in reliance on any data, or for any damages resulting therefrom. Data may be intentionally delayed pursuant to supplier requirements.

Mutual Funds & ETFs: All of the mutual fund and ETF information contained in this display, with the exception of the current price and price history, was supplied by Lipper, A Refinitiv Company, subject to the following: Copyright © Refinitiv. All rights reserved. Any copying, republication or redistribution of Lipper content, including by caching, framing or similar means, is expressly prohibited without the prior written consent of Lipper. Lipper shall not be liable for any errors or delays in the content, or for any actions taken in reliance thereon.

Cryptocurrencies: Cryptocurrency quotes are updated in real-time. Sources: CoinDesk (Bitcoin), Kraken (all other cryptocurrencies)

Calendars and Economy: 'Actual' numbers are added to the table after economic reports are released. Source: Kantar Media

Sours: https://www.wsj.com/market-data/quotes/index/VIX/advanced-chart
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Volatility Indices

This page provides details for the Index you are viewing. At the top, you'll find a histogram containing today's high and low price. The histogram shows where the open and last price fall within that range. Below is a histogram showing the 52-week high and low. A chart also shows you today's activity.


Screen

Available only with a Premier Membership, you can base a Stock Screener off the symbols currently on the page. This lets you add additional filters to further narrow down the list of candidates.

Example:

  1. Click "Screen" on the page and the Stock Screener opens, pulling in the symbols from the Components page.
  2. Add additional criteria in the Screener, such as "20-Day Moving Average is greater than the Last Price", or "TrendSpotter Opinion is Buy".
  3. View the results and save them to a Watchlist, or save the Screener to run again at a later date.
  4. Running a Saved Screener at a later date will always present a new list of results. Your Saved Screener will always start with the most current set of symbols found on the Components page before applying your custom filters and displaying new results.
Percentage of Stocks Above Moving Average

For the major indices on the site, this widget shows the percentage of stocks contained in the index that are above their 20-Day, 50-Day, 100-Day, 150-Day, and 200-Day Moving Averages.

In theory, the direction of the moving average (higher, lower or flat) indicates the trend of the market. Its slope indicates the strength of the trend. Longer averages are used to identify longer-term trends. Shorter averages are used to identify shorter-term trends. Many trading systems utilize moving averages as independent variables and market analysts frequently use moving averages to confirm technical breakouts.

When prices are rising they are usually above the average. This is to be expected since the average includes data from the previous, lower priced days. As long as prices remain above the average there is strength in the market.

Components Table

The components table shows you the stocks that comprise the index.

Barchart Data Table

Data tables on Barchart follow a familiar format to view and access extensive information for the symbols in the table.

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Pages are initially sorted in a specific order (depending on the data presented). You can re-sort the page by clicking on any of the column headings in the table.

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Most data tables contain multiple standard "Views", and each View contains "Links" to each symbol's Quote Overview, Chart, Barchart Opinion, and Technical Analysis page. A View simply presents the same symbols with different columns. Site members can also display the data using any Custom View. (Simply create a free account, log in, then create and save Custom Views to be used on any data table.) Standard Views on the Index page include:

  • Main View: Symbol, Name, Last Price, Change, Percent Change, High, Low, and Time of Last Trade.

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पूरी जानकारी🔥 India VIX Index - Vix Trading Strategies - India VIX Index Strategy - NIFTY VIX

Cboe Volatility Index (VIX)

What Is the Cboe Volatility Index (VIX)?

The Cboe Volatility Index (VIX) is a real-time index that represents the market's expectations for the relative strength of near-term price changes of the S&P 500 index (SPX). Because it is derived from the prices of SPX index options with near-term expiration dates, it generates a 30-day forward projection of volatility. Volatility, or how fast prices change, is often seen as a way to gauge market sentiment, and in particular the degree of fear among market participants.

The index is more commonly known by its ticker symbol and is often referred to simply as "the VIX." It was created by the Chicago Board Options Exchange (CBOE) and is maintained by Cboe Global Markets. It is an important index in the world of trading and investment because it provides a quantifiable measure of market risk and investors' sentiments.

Key Takeaways

  • The Cboe Volatility Index, or VIX, is a real-time market index representing the market's expectations for volatility over the coming 30 days.
  • Investors use the VIX to measure the level of risk, fear, or stress in the market when making investment decisions.
  • Traders can also trade the VIX using a variety of options and exchange-traded products, or use VIX values to price derivatives.

How Does the VIX Work?

For financial instruments like stocks, volatility is a statistical measure of the degree of variation in their trading price observed over a period of time. On September 27, 2018, shares of Texas Instruments Inc. (TXN) and Eli Lilly & Co. (LLY) closed around similar price levels of $107.29 and $106.89 per share, respectively.

However, a look at their price movements over the past one month (September) indicates that TXN (Blue Graph) had much wider price swings compared to that of LLY (Orange Graph). TXN had higher volatility compared to LLY over the one-month period.

Extending the observation period to the last three months (July to September) reverses the trend: LLY had a much wider range for price swings compared to that of TXN, which is completely different from the earlier observation made over one month. LLY had higher volatility than TXN during the three-month period.

Volatility attempts to measure such magnitude of price movements that a financial instrument experiences over a certain period of time. The more dramatic the price swings are in that instrument, the higher the level of volatility, and vice versa.

How Volatility Is Measured

Volatility can be measured using two different methods. First is based on performing statistical calculations on the historical prices over a specific time period. This process involves computing various statistical numbers, like mean (average), variance, and finally the standard deviation on the historical price data sets.

The resulting value of standard deviation is a measure of risk or volatility. In spreadsheet programs like MS Excel, it can be directly computed using the STDEVP() function applied on the range of stock prices. However, the standard deviation method is based on lots of assumptions and may not be an accurate measure of volatility. Since it is based on past prices, the resulting figure is called “realized volatility” or "historical volatility (HV)." To predict future volatility for the next X months, a commonly followed approach is to calculate it for the past recent X months and expect that the same pattern will follow.

The second method to measure volatility involves inferring its value as implied by option prices. Options are derivative instruments whose price depends upon the probability of a particular stock’s current price moving enough to reach a particular level (called the strike price or exercise price).

For example, say IBM stock is currently trading at a price of $151 per share. There is a call option on IBM with a strike price of $160 and has one month to expiry. The price of such a call option will depend upon the market perceived probability of IBM stock price moving from current level of $151 to above the strike price of $160 within the one month remaining to expiry. Since the possibility of such price moves happening within the given time frame is represented by the volatility factor, various option pricing methods (like Black Scholes model) include volatility as an integral input parameter. Since option prices are available in the open market, they can be used to derive the volatility of the underlying security (IBM stock in this case). Such volatility, as implied by or inferred from market prices, is called forward-looking “implied volatility (IV).”

Though none of the methods is perfect as both have their own pros and cons as well as varying underlying assumptions, they both give similar results for volatility calculation that lie in a close range.

Extending Volatility to Market Level

In the world of investments, volatility is an indicator of how big (or small) moves a stock price, a sector-specific index, or a market-level index makes, and it represents how much risk is associated with the particular security, sector, or market. The above stock-specific example of TXN and LLY can be extended to sector-level or market-level. If the same observation is applied to the price moves of a sector-specific index, say the NASDAQ Bank Index (BANK), which consists of more than 300 banking and financial services stocks, one can assess the realized volatility of the overall banking sector. Extending it to the price observations of the broader market level index, like the S&P 500 index, will offer a peek into the volatility of the larger market. Similar results can be achieved by deducing the implied volatility from the option prices of the corresponding index.

Having a standard quantitative measure for volatility makes it easy to compare the possible price moves and the risk associated with different securities, sectors, and markets.

The VIX Index is the first benchmark index introduced by Cboe to measure the market’s expectation of future volatility. Being a forward-looking index, it is constructed using the implied volatilities on S&P 500 index options (SPX) and represents the market's expectation of 30-day future volatility of the S&P 500 index which is considered the leading indicator of the broad U.S. stock market.

Introduced in 1993, the VIX Index is now an established and globally recognized gauge of U.S. equity market volatility. It is calculated in real-time based on the live prices of the S&P 500 index. Calculations are performed and values are relayed during 3:00 a.m. CT and 9:15 a.m. CT, and between 9:30 a.m. CT and 4:15 p.m. CT. Cboe began the dissemination of the VIX Index outside of U.S. trading hours in April 2016.

Calculation of VIX Index Values

VIX index values are calculated using the Cboe-traded standard SPX options (that expire on the third Friday of each month) and using the weekly SPX options (that expire on all other Fridays). Only those SPX options are considered whose expiry period lies within 23 days and 37 days.

While the formula is mathematically complex, theoretically it works as follows. It estimates the expected volatility of the S&P 500 index by aggregating the weighted prices of multiple SPX puts and calls over a wide range of strike prices. All such qualifying options should have valid non-zero bid and ask prices that represent the market perception of which options' strike prices will be hit by the underlying stocks during the remaining time to expiry. For detailed calculations with an example, one can refer to the section “VIX Index Calculation: Step-by-Step” of the VIX whitepaper.

Evolution of VIX

During its origin in 1993, VIX was calculated as a weighted measure of the implied volatility of eight S&P 100 at-the-money put and call options, when the derivatives market had limited activity and was in its growing stages. As the derivatives markets matured, ten years later in 2003, Cboe teamed up with Goldman Sachs and updated the methodology to calculate VIX differently. It then started using a wider set of options based on the broader S&P 500 index, an expansion that allows for a more accurate view of investors' expectations on future market volatility. They then adopted a methodology that continues to remain in effect and is also used for calculating various other variants of the volatility index.

Real-World Example of the VIX

Volatility value, investors' fear, and the VIX index values move up when the market is falling. The reverse is true when the market advances—the index values, fear, and volatility decline.

A real-world comparative study of the past records since 1990 reveals several instances when the overall market, represented by S&P 500 index (Orange Graph) spiked leading to the VIX values (Blue Graph) going down around the same time, and vice versa.

One should also note that VIX movement is much more than that observed in the index. For example, when S&P 500 declined around 15% between August 1, 2008, and October 1, 2008, the corresponding rise in VIX was nearly 260%.

In absolute terms, VIX values greater than 30 are generally linked to large volatility resulting from increased uncertainty, risk, and investors’ fear. VIX values below 20 generally correspond to stable, stress-free periods in the markets.

How to Trade the VIX

VIX index has paved the way for using volatility as a tradable asset, although through derivative products. Cboe launched the first VIX-based exchange-traded futures contract in March 2004, which was followed by the launch of VIX options in Feb. 2006.

Such VIX-linked instruments allow pure volatility exposure and have created a new asset class altogether. Active traders, large institutional investors, and hedge fund managers use the VIX-linked securities for portfoliodiversification, as historical data demonstrates a strong negative correlation of volatility to the stock market returns – that is, when stock returns go down, volatility rises and vice versa.

"...it forces us to do what we know we're supposed to do as investors, which is, add low, trim high, a version of buy low, sell high. And often when left to our own devices, we don't do that. We let the winners run. They become an outsized portion of the portfolio. And when the inevitable reversion of the mean happens, you're holding a much heavier bag than you otherwise would have," said Liz Ann Sonders, managing director & chief investment strategist of Charles Schwab. "It's really simple, basic stuff, but it's so important to hammer home, especially when you have all these rotations, which frankly give you more opportunity to use volatility to your advantage via that process of rebalancing."

Other than the standard VIX index, Cboe also offers several other variants for measuring broad market volatility. Other similar indexes include the Cboe ShortTerm Volatility Index (VXSTSM), which reflects the nine-day expected volatility of the S&P 500 Index, the Cboe S&P 500 3-Month Volatility Index (VXVSM), and the Cboe S&P 500 6-Month Volatility Index (VXMTSM). Products based on other market indexes include the Nasdaq-100 Volatility Index (VXNSM), the Cboe DJIA Volatility Index (VXDSM), and the Cboe Russell 2000 Volatility Index (RVXSM). Options and futures based on RVXSM are available for trading on Cboe and CFE platforms, respectively.

Like all indexes, one cannot buy the VIX directly. Instead, investors can take a position in VIX through futures or options contracts, or through VIX-based exchange traded products (ETP). For example, the ProShares VIX Short-Term Futures ETF (VIXY), the iPath Series B S&P 500 VIX Short Term Futures ETN (VXXB), and the VelocityShares Daily Long VIX Short-Term ETN (VIIX) are many such offerings that track certain VIX-variant index and take positions in linked futures contracts.

Active traders who employ their own trading strategies as well as advanced algorithms use VIX values to price the derivatives which are based on high beta stocks. Beta represents how much a particular stock price can move with respect to the move in a broader market index. For instance, a stock having a beta of +1.5 indicates that it is theoretically 50% more volatile than the market. Traders making bets through options of such high beta stocks utilize the VIX volatility values in appropriate proportion to correctly price their options trades.

Sours: https://www.investopedia.com/terms/v/vix.asp

Index chart vix

FRED Graph

Source:Chicago Board Options Exchange  

Release:CBOE Market Statistics  

Units:  Index, Not Seasonally Adjusted

Frequency:  Daily, Close

Notes:

VIX measures market expectation of near term volatility conveyed by stock index option prices. Copyright, 2016, Chicago Board Options Exchange, Inc. Reprinted with permission.

Suggested Citation:

Chicago Board Options Exchange, CBOE Volatility Index: VIX [VIXCLS], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/VIXCLS, October 15, 2021.

Source:S&P Dow Jones Indices LLC  

Release:Standard & Poors  

Units:  Index, Not Seasonally Adjusted

Frequency:  Daily, Close

Notes:

The observations for the S&P 500 represent the daily index value at market close. The market typically closes at 4 PM ET, except for holidays when it sometimes closes early.

The Federal Reserve Bank of St. Louis and S&P Dow Jones Indices LLC have reached a new agreement on the use of Standard & Poors and Dow Jones Averages series in FRED. FRED and its associated services will include 10 years of daily history for Standard & Poors and Dow Jones Averages series.

The S&P 500 is regarded as a gauge of the large cap U.S. equities market. The index includes 500 leading companies in leading industries of the U.S. economy, which are publicly held on either the NYSE or NASDAQ, and covers 75% of U.S. equities. Since this is a price index and not a total return index, the S&P 500 index here does not contain dividends.

Copyright © 2016, S&P Dow Jones Indices LLC. All rights reserved. Reproduction of S&P 500 in any form is prohibited except with the prior written permission of S&P Dow Jones Indices LLC ("S&P"). S&P does not guarantee the accuracy, adequacy, completeness or availability of any information and is not responsible for any errors or omissions, regardless of the cause or for the results obtained from the use of such information. S&P DISCLAIMS ANY AND ALL EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, ANY WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE. In no event shall S&P be liable for any direct, indirect, special or consequential damages, costs, expenses, legal fees, or losses (including lost income or lost profit and opportunity costs) in connection with subscriber's or others' use of S&P 500.

Permission to reproduce S&P 500 can be requested from [email protected] More contact details are available here, including phone numbers for all regional offices.

Suggested Citation:

S&P Dow Jones Indices LLC, S&P 500 [SP500], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/SP500, October 15, 2021.

Sours: https://fred.stlouisfed.org/graph/?g=fjSM
The Volatility Index (VIX) Explained - Options Pricing - Options Mechanics

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