Browsing: fear gauge

Posts Tagged ‘ fear gauge ’

A Proposed Model for VIX Derivatives Pricing

Feb 14th, 2019 | Filed under: Newly Added, Derivatives, The A.I. Industry, Commodities, Structured Products

The VIX may be about to get some competition. VIX is the “fear gauge,” the very visible measure of expected price fluctuations in the S&P 500 index options. On the foundation of its popularity, CBOE has built a monopoly on exchange-traded volatility products. VIX derivatives have become among the mostRead More


It’s the Volatility (of Volatility), Stupid! 

Jun 4th, 2018 | Filed under: Newly Added, What about beta?

By Bill Kelly, CEO, CAIA Association Just about 25 years ago a political strategist named James Carville brought this phrase into the common lexicon when he used the “Economy” as the initial punchline. The resonation of that simple phrase is arguably what got Bill Clinton into the White House. At just about that same time and a short 1,000 miles away from Hope, Ark., Professor RobertRead More


S&P on Reading VIX

Feb 6th, 2018 | Filed under: Newly Added, Financial Economics Theory, Finance & Economics

S&P Dow Jones Indices has put out a paper offering market participants without patience for “academic rigor” an accessible guide to the so-called “Fear Index,” the VIX, calculated from the prices of a specific basket of S&P options. The contributors to the paper are: Tim Edwards, S&P Global senior director,Read More


Understanding VIX Part 2: Understanding VIX Futures and Exchange Traded Products

Aug 19th, 2012 | Filed under: Alpha Strategies

Keith Black, PhD, CFA, CAIA, discusses trading volatility in Part II of this two-part series.Read More


Understanding VIX Part 1: An Empirical Description of the CBOE Volatility Index

Aug 16th, 2012 | Filed under:

Keith H. Black, PhD, CFA, CAIA, takes the fear out of understanding the "Fear gauge." Part I of a two-part series.Read More