Tech och Turkiet sänkte Wall Street – ”skräckindex” rusade

The CBOE Volatility Index, known by its ticker symbol VIX, is a popular measure of the stock market's expectation of volatility implied by S&P 500 index options, calculated and published by the Chicago Board Options Exchange (CBOE). It is colloquially referred to as the fear index or the fear gauge. The formulation of a volatility index, and financial instruments based on such an index, were developed by Menachem Brenner and Dan Galai in 1986. They stated the "volatility index, to be named Sigma Index, would be updated frequently and used as the underlying asset for futures and options. ... A volatility index would play the same role as the market index play for options and futures on the index." In 1986, Brenner and Galai proposed the creation of a series of volatility indices, beginning with an index on stock market volatility, and moving to interest rate and foreign exchange rate volatility to the American Stock Exchange. In 1987, Brenner and Galai met with Joseph Levine and Deborah Clayworth at the CBOE to propose various structures for a tradeable index on volatility; those discussions continued until 1991. The current VIX concept formulates a theoretical expectation of stock market volatility in the near future. The current VIX index value quotes the expected annualized change in the S&P 500 index over the following 30 days, as computed from options-based theory and current options-market data.The CBOE retained consultant Robert Whaley in 1992 to develop a tradable volatility instrument based on index option prices. Based on historical index option prices, Whaley computed a data series of retrospective daily VIX levels from January 1986 onward. CBOE began publish real-time VIX data in 1993.