The Chicago Board Options Exchange (CBOE) reported that 19 of 20 of their volatility indexes were up on Wednesday, eight of them by more than 10%.
The benchmark CBOE Volatility Index (VIX) was up 13.6%: the other seven up more than 10%, included:
· CBOE Russell 2000 Volatility Index (RVX): +15.8%
· CBOE NASDAQ Volatility Index (VXN): +14.5%
· CBOE Emerging Market ETF Volatility Index (VXEEM): +14.1%
· CBOE Brazil ETF Volatility Index (VXEWZ): +13.0%
· CBOE Equity VIX on Goldman Sachs (VXGS): +12.7%
· CBOE Equity VIX on Apple (VXAPL): +12.4%
· CBOE DJIA Volatility Index (VXD): +12.2%
The Only CBOE Volatility index that wasn't up was CBOE Equity VIX on Amazon.
The CBOE Volatility Indexes provide up-to-the-minute market estimates of expected volatility that is calculated by using real-time option bid/ask quotes. VIX uses nearby and second nearby options with at least 8 days left to expiration and then weights them to yield a constant, 30-day measure of the expected volatility of the S&P 500 Index.