About VIX Daily Price
The VIX Daily Price dataset by CBOE covers 8 US volatility indices. The data starts in January 1990 and is delivered on a daily frequency. The dataset is cached daily from the CBOE website. The volatility index measures the stock market's expectation of volatility on the market index (e.g.: S&P500) using implied volatility from its Options for a fixed time horizon.
The Chicago Board Options Exchange (CBOE) is the largest U.S. options exchange with annual trading volume that hovered around 1.27 billion contracts at the end of 2014. CBOE offers Options on over 2,200 companies, 22 Equity indices, and 140 exchange-traded funds (ETFs).
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- Understanding the stock market's level of expected forward-looking volatility, also known as the "fear index". When the VIX starts moving higher, it is telling you that traders are getting nervous. When the VIX starts moving lower, it is telling you that traders are gaining confidence.
- Determine forward-looking volatility by comparing the VIX against volatility indexes with other volatility. By comparing the value of the VIX to the value of the VIX3M, we can identify periods when trader sentiment has turned extremely bearish and when it has normalized.
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