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The “fear index” is a common name for the CBOE Volatility Index, or “VIX,” which measures expectations for volatility in the U.S. stock market.
On 5 February 2017, the fear index reached 37.32 – its highest point since 2011.
The VIX is built upon a much more complicated formula and theory than are typical stock market indices like the S&P 500 or Dow Jones Industrial Average. The inputs to its calculation are the market prices at any given point in time of call and put option contracts on the S&P 500 Index as traded on the Chicago Board Options Exchange. The VIX reflects “implied” volatility in percentage (and statistical) terms. Thus, for example, if the VIX stands at 20 (i.e., 20%), this indicates that investors and speculators in the market collectively expect with 68% probability (i.e. one standard deviation from the mean) that the market will rise or fall by 20% within the next 12 months. Although termed the “fear index,” a VIX value of 20 does not specify whether the market is expected to go up by 20% or to go down by 20%.
„Index strachu“ je běžný název pro CBOE Volatility Index neboli „VIX“, který měří očekávanou volatilitu na akciových trzích Spojených států.
Dne 5. února 2017 index strachu dosáhl 37,32 – nejvyšší hodnoty od roku 2011.
VIX je založen na mnohem složitějším vzorci a teorii než typický index akciového trhu jako S&P 500 or Dow Jones Industrial Average. Do výpočtu vstupují aktuální tržní ceny kupních a prodejních opčních kontraktů indexu S&P 500 obchodované na burze Chicago Board Options Exchange. VIX odráží “implikovanou” volatilitu v procentech (a statisticky). Pokud tedy VIX má hodnotu 20 (tj. 20 %), znamená to, že investoři a spekulanti na trhu společně očekávají s 68% pravděpodobností (tj. s jednou směrodatnou odchylkou od průměru), že trh v příštích 12 měsících poroste nebo klesne o 20 %. Přestože se nazývá „index strachu“, hodnota VIX 20 neudává, zda o těchto 20 % trh poroste nebo klesne.
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Simply subscribe to receive our Business Term of the Day at no charge to your inbox each business day, with explanation in English and Czech.
