Offshore Capitalist

What is the VIX?

The VIX is the square root of the par variance swap rate for a 30 day term initiated today (!!).

The VIX is quoted in terms of percentage points and translates, roughly, to the expected movement in the S&P 500 index over the next 30-day period, on an annualized basis. For example, if the VIX is at 15, this represents an expected annualized change of 15% over the next 30 days.

Investors believe that a high value of VIX translates into a greater degree of market uncertainty, while a low value of VIX is consistent with greater stability.

The VIX is calculated and disseminated in real-time by the Chicago Board Options Exchange.

Click for Yahoo chart – VIX


via CBOE – Micro Site.

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