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VIX
A volatility index for the Chicago Board Options Exchange, known by its ticker symbol VIX. It is calculated by taking a weighted average of the implied volatility from eight calls and puts on the S&P 100 index.
The VIX measures the volatility of the U.S. equity market. Many investors say that if the VIX goes above 35, it signals a bottom in the stock market.
VIX and Stock Market behavior
While there are other factors at work, in most cases, a high VIX reflects increased investor fear and a low VIX suggests complacency. Historically, this pattern in the relationship between the VIX and the behavior of the stock-market has repeated itself in bull and bear cycles...
During periods of market turmoil, the VIX spikes higher, largely reflecting the panic demand for OEX puts as a hedge against further declines in stock portfolios. During bullish periods, there is less fear and therefore less need for portfolio managers to purchase puts.
By measuring investor fear levels tick-by-tick and day-by-day, the VIX, like many emotional gauges (e.g., put/call ratio and sentiment surveys), can be used as a contrary opinion tool in attempting to pinpoint market tops and bottoms on a medium-term basis. There are two ways to use the VIX in this manner. The first is to look at the actual level of the VIX to determine its stock-market implications. Another approach involves looking at ratio comparing the current level to the long-term moving average of the VIX. This second method, known as detrending, helps to remove long-term trends in the VIX, providing a more stable reading in the form of an oscillator.
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