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Jan 20

Volatility ‘and Fear’ Creeping up

Source: Bloomberg

The above chart is everyone’s latest favourite, the VIX index (otherwise known as the Fear Index). Today it closed at 57, up from 50 at the start of the day, and as can be seen it is creeping back up towards those October and November levels. Given the S&P500 closed down today by more than 5%, its no wonder the VIX is up but the big question is…does this mean there is more pain to come?

So what is the VIX index?…its a mathematical calculation of the implied volatility taken from S&P500 option contracts that are sold on the Chicago Board Options Exchange (CBOE). It is an expectation of the S&P500 market volatility of the next 30 days.

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