A volatility index would play the same role as the market index plays for options and futures on the index.' In 1992, the CBOE hired consultant Bob Whaley to calculate values for stock market volatility based on this theoretical work. In their papers, Brenner and Galai proposed, ' volatility index, to be named 'Sigma Index', would be updated frequently and used as the underlying asset for futures and options. In a series of papers beginning in 1989, Brenner and Galai proposed the creation of a series of volatility indices, beginning with an index on stock market volatility, and moving to interest rate and foreign exchange rate volatility. The VIX traces its origin to the financial economics research of Menachem Brenner and Dan Galai. Get the latest iShares Core S&P 500 ETF (IVV) real-time quote, historical performance, charts, and other financial information to help you make more informed trading and investment decisions. It is calculated and disseminated on a real-time basis by the CBOE, and is often referred to as the fear index or fear gauge.
VIX is the ticker symbol and the popular name for the Chicago Board Options Exchange's CBOE Volatility Index, a popular measure of the stock market's expectation of volatility based on S&P 500 index options.
