Volatility Indices

Volatility indices measure the market's expectations for the relative strength of near-term price changes of an index or security.

3-Month Volatility Index

The Cboe 3-Month Volatility Index℠ VIX3M is designed to be a constant measure of 3-month implied volatility of the S&P 500® SPX Index options. (On September 18, 2017 the ticker symbol for the Cboe 3-Month Volatility Index was changed from VXV to VIX3M).The VIX3M Index has tended to be less volatile than the Cboe Volatility Index® VIX®, which measures one-month implied volatility. Using the VIX3M and VIX indexes together provides useful insight into the term structure of S&P 500 SPX option implied volatility.

Amazon Volatility Index

The Cboe Amazon VIX Index℠ VXAZN is a VIX-style estimate of the expected 30-day volatility of Amazon stock returns. Like VIX®, VXAZN is calculated by interpolating between two weighted sums of option midquote values, in this case options on AMAZON. The two sums essentially represent the expected variance of the AMAZON returns up to two option expiration dates that bracket a 30-day period of time. VXAZN is obtained by annualizing the interpolated value, taking its square root and expressing the result in percentage points.

Apple Volatility Index

The Cboe Apple VIX Index℠ VXAPL is a VIX®-style estimate of the expected 30-day volatility of Apple stock returns. Like VIX, VXAPL is calculated by interpolating between two weighted sums of option midquote values, in this case options on Apple. The two sums essentially represent the expected variance of the Apple returns up to two option expiration dates that bracket a 30-day period of time. VXAPL is obtained by annualizing the interpolated value, taking its square root and expressing the result in percentage points.

Brazil ETF Volatility Index

The Cboe Brazil Volatility Index℠ VXEWZ is a VIX®-style estimate of the expected 30-day volatility of returns on the iShares Brazil ETF EWZ. Like VIX, VXEWZ is calculated by i nterpolating between two weighted sums of option midquote values, in this case options on EWZ. The two sums essentially represent the expected variance of the returns on EWZ up to two option expiration dates that bracket a 30-day period of time. VXEWZ is obtained by annualizing the interpolated value, taking its square root and expressing the result in percentage points.

China ETF Volatility Index

Cboe follows its proprietary Cboe Volatility Index® VIX® methodology to create indexes that reflect expected volatility for options on select exchange-traded funds (ETFs).Cboe calculates and disseminates the Cboe China ETF Volatility Index℠ (ticker: VXFXISM), which reflects the implied volatility of the FXI ETF.

Crude Oil Volatility Index

The Cboe Crude Oil ETF Volatility Index℠ OVX is a VIX®-style estimate of the expected 30-day volatility of crude oil as priced by the United States Oil Fund, USO. Like VIX, OVX is calculated by interpolating between two weighted sums of option midquote values, in this case options on the OVX ETF. The two sums essentially represent the expected variance of the Euro to Dollar exchange rate up to two option expiration dates that bracket a 30-day period of time. OVX is obtained by annualizing the interpolated value, taking its square root and expressing the result in percentage points.

Emerging Markets ETF Volatility Index

The Cboe Emerging Markets Volatility Index℠ VXEEM is a VIX-style estimate of the expected 30-day volatility of returns on the MSCI EEM Index. Like VIX,VXEEM is calculated by interpolating between two weighted sums of option midquote values, in this case options on EEM. The two sums essentially represent the expected variance of MSCi EEM Index returns up to two option expiration dates that bracket a 30-day period of time. VXEEM is obtained by annualizing the interpolated value, taking its square root and expressing the result in percentage points.

Energy Sector ETF Volatility Index

The Cboe Sector ETF Volatility Index℠ VXXLE estimates the expected 30-day volatility of the price of the Energy Sector ETF XLE. Similar to VIX®, VXXLE is derived by applying the VIX algorithm to options on the XLE Energy Sector ETF.

Euro Currency ETF Volatility Index

The Cboe EuroCurrency Volatility Index℠ EVZ is a VIX®-style estimate of the expected 30-day volatility of the CurrencyShares Euro Trust (Ticker - FXE). Like VIX, EUVIX is calculated by interpolating between two weighted sums of option midquote values, in this case options on EVZ. The two sums essentially represent the expected variance of the Euro to Dollar exchange rate up to two option expiration dates that bracket a 30-day period of time. EVZ is obtained by annualizing the interpolated value, taking its square root and expressing the result in percentage points.

DJIA Volatility Index

The Cboe DJIA Volatility Index℠ VXD is a VIX®-style estimate of the expected 30-day volatility of DJIA stock index returns. Like VIX, VXD is calculated by interpolating between two weighted sums of option midquote values, in this case options on the DJIA DJX . The two sums essentially represent the expected variance of DJIA Index returns up to two option expiration dates that bracket a 30-day period of time. DJX is obtained by annualizing the interpolated value, taking its square root and expressing the result in percentage points.

Gold ETF Volatility Index

The Gold ETF Volatility Index℠ GVZ is a VIX®-style estimate of the expected 30-day volatility of returns on the SPDR Gold Shares ETF GLD . Like VIX,GVIX is calculated by interpolating between two weighted sums of option midquote values, in this case options on GLD. The two sums essentially represent the expected variance of the price of gold up to two option expiration dates that bracket a 30-day period of time. GVZ is obtained by annualizing the interpolated value, taking its square root and expressing the result in percentage points.

Gold Miners ETF Volatility Index

Cboe calculates and disseminates the Cboe Gold Miners ETF Volatility Index℠ (ticker: VXGDX), which reflects the implied volatility of the GDX ETF.

Google Volatility Index

The Cboe Google VIX Index℠ VXGOG is a VIX®-style estimate of the expected 30-day volatility of Apple stock returns. Like VIX, VXGOG is calculated by interpolating between two weighted sums of option midquote values, in this case options on Google. The two sums essentially represent the expected variance of the Google returns up to two option expiration dates that bracket a 30-day period of time. VXGOG is obtained by annualizing the interpolated value, taking its square root and expressing the result in percentage points.

IBM Volatility Index

The Cboe IBM VIX Index℠ VXIBM is a VIX®-style estimate of the expected 30-day volatility of IBM stock returns. Like VIX, VXIBM is calculated by interpolating between two weighted sums of option midquote values, in this case options on IBM. The two sums essentially represent the expected variance of the IBM returns up to two option expiration dates that bracket a 30-day period of time. VXIBM is obtained by annualizing the interpolated value, taking its square root and expressing the result in percentage points.

Nasdaq 100 Volatility Index

The CBOE Nasdaq Volatility Index VXN is a measure of market expectations of 30-day volatility for the Nasdaq 100 index, as implied by the prices of options listed on this index. The VXN index is a widely watched gauge of market sentiment and volatility for the Nasdaq-100, which includes the top 100 U.S. and international non-financial securities by market capitalization listed on the Nasdaq.

Russell 2000 Volatility Index

The Cboe Russell 2000 Volatility Index℠ RVX is a VIX®-style estimate of the expected 30-day volatility of Russell 2000® Index returns. RVX is calculated by interpolating between two weighted sums of option midquote values, in this case options on the Russell 2000 Index RUT . The two sums essentially represent the expected variance of the Russell 2000 Index returns up to two option expiration dates that bracket a 30-day period of time. RVX is obtained by annualizing the interpolated value, taking its square root and expressing the result in percentage points.

Silver ETF Volatility Index

The Cboe Silver ETF Volatility Index℠ VXSLV estimates the expected 30-day volatility of the return on the iShares Silver ETF. VSLV is derived by applying the VIX® algorithm to options.