Tag Archives: CBOE Volatility Index

The Greece Crisis is Not Our Concern, Say US Options Investors

English speakers have grown to love the German word schadenfreude. But what’s the single word for indifference to the suffering of others? We need to figure this out to describe what’s happening in the US options markets. For the past decade, European and US options investors have been sympathetic to each other’s pains. When we […]

The VIX Takes a Hairpin Turn

I have a neighbor who is cooler than me. He is braver than me. He also has more expansive and expensive medical and auto insurance than I do. How do I know all this? Well, he races street motorcycles. The other day I asked him what was the fastest he had ever gone. His answer: […]

VIX – The Enforcer

Your portfolio is like a hockey team.  You don’t think so?  It is.  And VIX plays a key role.  Stay with me while I explain. Equities are your guys playing at center and on the wings.  You expect production from them.  Your team largely lives and dies by how consistently they score.  Bonds are your […]

What’s a Normal VIX Level?

Someone asked me this last week: “What’s a normal or typical VIX level?” That’s a good question. Here is the answer: 20.2. And 17.1. And also 13.0. Before I go into why it takes at least three numbers to answer this question, let me remind you that the history of the CBOE Volatility Index (VIX) […]

You’ve seen VIX. Now finally learn what it means.

I’ve come to two realizations about the CBOE Volatility Index, better known as VIX, in my time at S&P Dow Jones Indices. First, this index, which is based on the prices of S&P 500 options, is known throughout the world. I have been fortunate to have lived in some interesting places – Hong Kong, London, […]

A study considering the advantages of tying a Variable Annuity fee to VIX

This paper explores the use of the CBOE Volatility Index® (VIX)® in setting the risk charge (“fee”) for a variable annuity (VA) product guarantee, and will demonstrate the potential advantages – both to variable annuity carriers and to policy holders – of calculating the fee as a function of VIX. This paper will analyze the use of […]

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