Volatility Indexes

Volatility indexes were first introduced in the early 1990s. The first volatility index was the CBOE Volatility Index (VIX), which was created by the Chicago Board Options Exchange in 1993. VIX is based on the prices of S&P 500 index options and is commonly used as a measure of market risk. Other volatility indexes followed suit, including the VXO (formerly the OEX Volatility Index), the RVX (formerly the Russell 2000 Volatility Index), and the VXN (formerly the NASDAQ-100 Volatility Index).

 These indexes are based on the prices of options on different stock indexes and are used to measure the volatility of those respective markets. In recent years, volatility indexes have become increasingly popular as investment tools. Many exchange-traded products (ETPs) have been created that track the performance of volatility indexes, such as the iPath S&P 500 VIX Short-Term Futures ETN (VXX) and the ProShares Ultra VIX Short-Term Futures ETF (UVXY). 

There are also a number of volatility-based strategies that have been developed, such as the long volatility trade, which aims to profit from an increase in volatility, and the short vol trade, which looks to profit from a decrease in volatility. With the ever-increasing popularity of volatility indexes, it is clear that they are here to stay. As the markets continue to fluctuate and investors look for ways to protect their portfolios, volatility indexes will continue to play an important role in the world of investing.

Name (Symbol) Underlying Asset Exchange/ Index Provider Methodology Time Range Launch Date Data Since
Stock Indexes Volatility Indexes
CBOE Volatility Index (VIX) S&P 500 Index CBOE Model-free 30-day Sep 2003 Jan-90
CBOE S&P 100 Volatility Index (VXO) S&P 100 Index CBOE Black&Scholes 30-day Jan 1993 Jan-86
CBOE Short-Term Volatility Index (VXST) S&P 500 Index CBOE Model-free 9-day Oct 2013 Jan-11
CBOE Mid-Term Volatility Index (VXMT) S&P 500 Index CBOE Model-free 6-month Nov 2013 Jan-08
CBOE 3-Month Volatility Index (VXV) S&P 500 Index CBOE Model-free 3-month Nov 2007 Dec-07
CBOE SPX Near-term VIX Index (VIN) S&P 500 Index CBOE Model-free ~23 days Jan 2011 Nov-10
CBOE SPX Far-term VIX Index (VIF) S&P 500 Index CBOE Model-free ~37 days1 Jan 2011 Nov-10
CBOE NASDAQ Volatility Index (VXN) NASDAQ-100 Index CBOE Model-free2 30-day Jan 2001 Jan-95
CBOE DJIA Volatility Index (VXD) Dow Jones Industrial Average CBOE Model-free 30-day Mar 2005 Oct-97
CBOE Russell 2000 Volatility Index (RVX) Russell 2000 Index CBOE Model-free 30-day May 2006 Jan-04
VDAX-NEW DAX Index Deutsche Börse Model-free 30-day3 Apr 2005 Jan-92
EURO STOXX 50 Volatility Index(VSTOXX) EURO STOXX 50 Index STOXX/ Eurex Exchange Model-free 30-day4 Apr 2005 Jan-99
AEX Volatility Index (VAEX) AEX Index Euronext Model-free 30-day Sep 2007 Jan-00
CAC 40 Volatility Index (VCAC) CAC 40 Index Euronext Model-free 30-day Sep 2007 Jan-00
FTSE 100 Volatility Index (VFTSE) FTSE 100 Index Euronext Model-free 30-day Jun 2008 Jan-00
S&P/ASX 200 VIX (A-VIX) S&P/ASX 200 Index Australian Securities Exchange Model-free 30-day Sep 2010 Jan-08
Russian Market Volatility Index (RVI) RTS Index Moscow Exchange Model-free 30-day Nov 2013 Nov-13
HSI Volatility Index (VHSI) Hang Seng Index Hong Kong Exchanges Model-free 30-day Feb 2011 Jan-01
India VIX (NVIX) NIFTY Index National Stock Exchange Model-free 30-day July 2010 Mar-09
Volatility Index on the SMI (VSMI) SMI Index SIX/ Eurex exchange Model-free 30-day5 Apr 2005 Jan-99
Mexican Volatility Index (VIMEX) IPC Index MexDer Black (1976) 90 days Mar 2014 Mar-04
S&P/TSX 60 VIX Index (VIXC) S&P/TSX 60 index Montréal Exchange Model-free 30-day Oct 2010 Oct-09
Nikkei Stock Average Volatility Index (Nikkei 225 VI) Nikkei 225 Index Osaka Exchange Model-free 30-day Nov 2010 Jun-89
Volatility Index of the KOSPI 200 (VKOSPI) KOSPI200 Index Korea Exchange Model-free 30-day Apr 2009 Jan-03
FTSE 100 Implied Volatility Index (FTSE 100 IVI) FTSE 100 Index FTSE Russell/ London Stock  Exchange Model-free 30-day6 Feb 2013 Jan-00
FTSE MIB Implied Volatility Index (FTSE MIB IVI) FTSE MIB Index FTSE Russell/ Borsa Italiana  Derivatives Market Model-free 30-day7 Feb 2013 Apr-10
AlphaShares China Volatility Index (ASCNCHIX) Hang Seng Index &FTSE/Xinhua China 25 Index AlphaShares Black&Scholes 30-day Jul 2009 Jun-08
TAIEX Options Volatility Index8 TAIEX Index TAIFEX Model-free &  Black&Scholes 30-day Dec 2006 Dec-06
SIX Volatility Index (SIXVX) OMX Stockholm 30 Index Nasdaq Stockholm Black&Scholes 30-day May 2004 May-04
JSE Securities South African Volatility Index (SAVIT40) FTSE/JSE Africa Top40 Index Johannesburg Stock Exchange Model-free 90-day Jan 2007 Jan-07
Commodity Volatility Indexes
CBOE/CBOT Corn Volatility Index (CIV) Corn futures (ZC) CBOE Model-free 30-day Jun 2011 Jun-11
CBOE/COMEX Gold Volatility Index (GVX) COMEX Gold futures (GC) CBOE Model-free 30-day Sep 2010 Sep-10
CBOE Gold Volatility Index (GVZ) SPDR Gold Shares (GLD) CBOE Model-free 30-day Aug 2008 Jun-08
CBOE/NYMEX WTI Volatility Index (OIV) WTI Crude Oil Futures (CL) CBOE Model-free 30-day Sep 2010 Sep-10
CBOE Crude Oil Volatility Index (OVX) United States Oil Fund (USO) CBOE Model-free 30-day Jul 2008 May-07
SAVI White Maize (SAVWM) White maize Johannesburg Stock Exchange Black&Scholes 90-day Jun 2009 Jan-02
CBOE/CBOT Soybean Volatility Index (SIV) Soybean futures(ZS) CBOE Model-free 30-day Jun 2011 Jun-11
CBOE Silver ETF Volatility Index (VXSLV) iShares Silver Trust (SLV) CBOE Model-free 30-day Mar 2011 Mar-11
CBOT Wheat Volatility Index (WIV) Wheat futures (ZW) CBOE Model-free 30-day Jul 2012 Jul-12
Currency Volatility Indexes
SAVI Dollar (SAVID) Rand /USD Johannesburg Stock Exchange Black&Scholes 90-day Jun 2009 Jun-09
JPMorgan VXY Global index (JPMVXYGL) 22 USD currency pairs JP Morgan Black&Scholes 90-day Mar 2011 Mar-11
JPMorgan G7 Volatility Index (JPMVXYG7) 9 major USD currency pairs JP Morgan Black&Scholes 90-day Dec 2006 Dec-06
JPMorgan Emerging Market Volatility Index (JPMVXYEM) 13 emerging USD currency pairs JP Morgan Black&Scholes 90-day Dec 2006 Dec-06
Deutsche Bank FX Volatility Index (CVIX) 9 major currency pairs Deutsche Bank Black&Scholes 90-day Feb 2007 Aug-01
CBOE/CME FX Euro Volatility Index (EUVIX) USD/Euro futures (6E) CBOE Model-free 30-day Jan 2015 Jan-07
CBOE/CME FX Yen Volatility Index (JYVIX) USD/JPY futures (6J) CBOE Model-free 30-day Jan 2015 Jan-07
CBOE/CME FX British Pound Volatility Index (BPVIX) USD/GBP futures (6B) CBOE Model-free 30-day Jan 2015 Jan-07
CBOE EuroCurrency Volatility Index (EVZ) CurrencyShares Euro Trust(FXE) CBOE Model-free 30-day Aug 2008 Nov-07
Interest Rates Volatility Indexes
S&P/JPX JGB VIX Index (SPJGBV) 10-year JGB futures Osaka Exchange Model-free 30-day Oct 2015 Jan-08
CBOE/CBOT 10-year U.S. Treasury Note Volatility Index  (TYVIX) 10-year Treasury Notes futures (TY) CBOE Model-free 30-day May 2013 Jan-03
CBOE Interest Rate Swap Volatility Index (SRVX) 10-year USD interest rate  swaps CBOE Model-free one-year Jun 2012 Jun-12
Merrill Lynch Options Volatility Expectations (MOVE) US Treasuries Merrill Lynch Black (1976) 30-day10 Apr 1988 Apr-88
Merrill Lynch Swaption Volatility Expectations (SMOVE) US non-Treasury interest-rate  swaps Merrill Lynch Black (1976) 30-day10 Dec 1996 Dec-96
Deutsche Bank Vega index (DVX) USD LIBOR swap rates Deutsche Bank Black (1976) > 1-year Jan 2007 Jan-99
Deutsche Bank Vega EUR index (DVXEUR) European swap rates Deutsche Bank Black (1976) > 1-year Sep 2007 Jan-99
Deutsche Bank Gamma Index (DGX) USD LIBOR swap rates Deutsche Bank Black (1976) < 1-year11 Aug 2009 Jan-90
Deutsche Bank Gamma EUR index (DGXEUR) European swap rates Deutsche Bank Black (1976) < 1-year11 Sep 2007 Jan-99
Stocks and Equity ETFs Volatility Indexes
CBOE EFA ETF Volatility Index (VXEFA) iShares MSCI EAFE Index Fund  (EFA) CBOE Model-free 30-day Jun 2013 Jan-08
CBOE Emerging Markets ETF Volatility Index (VXEEM) iShares MSCI Emerging Markets Index (EEM) CBOE Model-free 30-day Mar 2011 Mar-11
CBOE China ETF Volatility Index (VXFXI) iShares Trust FTSE China 25 Index Fund (FXI) CBOE Model-free 30-day Mar 2011 Mar-11
CBOE Brazil ETF Volatility Index (VXEWZ) iShares MSCI Brazil Index  Fund(EWZ) CBOE Model-free 30-day Mar 2011 Mar-11
CBOE Gold Miners ETF Volatility Index (VXGDX) Market Vectors Gold Miners  Fund (GDX) CBOE Model-free 30-day Mar 2011 Mar-11
CBOE Energy Sector ETF Volatility Index (VXXLE) Energy Select Sector SPDR  (XLE) CBOE Model-free 30-day Mar 2011 Mar-11
CBOE Equity VIX on Amazon (VXAZN) Amazon (AMZN) CBOE Model-free 30-day Jan 2011 Jun-10
CBOE Equity VIX on Apple (VXAPL) Apple (AAPL) CBOE Model-free 30-day Jan 2011 Jun-10
CBOE Equity VIX on Goldman Sachs (VXGS) Goldman Sachs (GS) CBOE Model-free 30-day Jan 2011 Jun-10
CBOE Equity VIX on Google (VXGOG) Google (GOOG) CBOE Model-free 30-day Jan 2011 Jun-10
CBOE Equity VIX on IBM (VXIBM) IBM (IBM) CBOE Model-free 30-day Jan 2011 Jun-10
Bats-T3 SPY Volatility Index (SPYIX) SPDR S&P 500 ETF (SPY) Bats Global Markets/ T3 Index Model-free 30-day Mar 2016 Jan-05
Volatility of Volatility Indexes
EURO STOXX 50 Volatility of Volatility Index (V-VSTOXX) VSTOXX futures Eurex Model-free 30-day12 Oct 2015 Mar-10
CBOE VIX of VIX Index (VVIX) VIX futures CBOE Model-free 30-day Mar 2012 Jun-06
Discontinued Volatility Indexes
Russian Volatility Index (RTSVX) RTS Index Moscow Exchange Black&Scholes 30-day Dec 2010 Dec-16
Barclays Swaption Volatility Index (BBOX and  BBPX) 1 to 30-year USD IR Swaps Barclays Black (1976) 14
MX Implied Volatility index (MVX) iShares CND S&P/TSX 60  Fund (XIU) Montréal Exchange Black&Scholes 30-day Dec 2002 Oct-10
VDAX DAX index Deutsche Börse Black&Scholes 45 days Dec 1994 Jul-16
BEL 20 Volatility Index (VBEL) BEL 20 index Euronext Model-free 30-day Sep 2007 Nov-10
MONEP Market Volatility Index (VX1) CAC 40 Index French Marchė des Options  Nėgociables de Paris (MONEP) Binomial 30-day15 Oct 1997 Sep-07
Amex QQQQ Volatility Index (QQV) PowerShares QQQ Trust American Stock Exchange Black&Scholes 30-day Jan 2001 Jun-14

Weekly market report

Wall st delivered a mixed bag of news with VIX, VNKY, and VSTOXX and their underlying markets almost unchanged. VXD - volatility index based...