ON WALL STREET, EYES TURN TO THE FEAR INDEX
NEW YORK TIMES
Oct 20, 2008
The VIX (officially the Chicago Board Options Exchange Volatility Index) measures volatility, the technical term for those wrenching market swings Wall Street has seen lately. “The first purpose was the one that is being served right now — find a barometer of market anxiety or investor fear,” Professor WHALEY, who now teaches at the Owen Graduate School of Management at Vanderbilt University, recalled in an interview. But, he said, the board also wanted to create an index that investors could bet on using futures and options, providing a new revenue stream for the exchange. Professor Whaley spent a sabbatical in France toying with formulas. He returned to the United States with the VIX, which gauges anxiety by calculating the premiums paid in a specific options market run by the Chicago Board Options Exchange.