After reading news reports the past few weeks about the Eurozone crisis, one might get the impression that the volatility of volatility is unusually high.
A key measure of volatility of volatility is the CBOE VIX of VIX Index (ticker VVIX, www.cboe.com/VVIX ) which is designed to measure the expected future volatility of the CBOE Volatility Index® (VIX®) www.cboe.com/VIX
Last Friday the month-end closing values were 89.59 for the VVIX Index and 17.08 for the VIX Index – both of these closing values are below the average values for each index over the past year (see the chart and below).
The VVIX Index can serve as a valuable gauge for investors who use the popular VIX options.
LOW VIX OPTIONS PUT/CALL RATIO ON THURSDAY
On Thursday, June 28, the VIX options put/call ratio was 0.15 (with volume of 35,879 puts and 241,628 calls). The June 28 put/call ratio was the lowest since January 13, 2012. A spreadsheet with daily volumes and put-call ratios is available at the VIX microsite at www.cboe.com/VIX
LINKS TO ADDITIONAL INFORMATION
- Volatility indexes www.cboe.com/volatility
- CBOE Volatility Index® (VIX®) (with put-call ratios, charts, bibliography, etc.) www.cboe.com/VIX
- Papers on Income Enhancement and Tail Risk Management www.cboe.com/benchmarks
- CBOE Risk Management Conference in Ireland – Sept. 5 – 7 2012 www.cboermc.com/Europe
VVIX and VIX VOLATILITY INDEXES – ONE-YEAR CHART (June 30, 2011 – June 29, 2012)
The average daily closing values over the past year were 99 for the VVIX Index and 24.7 for the VIX Index. www.cboe.com/volatility .