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Engaging the Fear Gauge: Observations on Counterintuitive VIX Behavior

Engaging the Fear Gauge: Observations on Counterintuitive VIX Behavior Describes the construction of the CBOE's VIX index. Shows mathematically how the variance of investment returns is ...
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Description: Describes the construction of the CBOE's VIX index. Shows mathematically how the variance of investment returns is reflected in the price of the index. Provides a rational explanation of technical factors that lead the index to perform inconsistently with market sentiment. Highly relevant for any hedger seeking to use the VIX index.
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- Authors: Edward Tom, Bogdan Ianev
- Date: Aug 2013
- Competency: Strategic Insight and Integration>Effective decision-making
- Publication Name: Risks & Rewards
- Topics: Finance & Investments>Derivatives

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