Chang, Chia-Lin; Jiménez-Martín, Juan-Ángel; … - Department of Economics and Finance, College of … - 2011
, options and futures. The most popular volatility index is VIX, which is a key measure of market expectations of volatility … as a “fear” index, and of VIX options and VIX futures as derivatives of the “fear” index. VIX is based on S&P500 call and … put options over a wide range of strike prices, and hence is not model based. Speculators can trade on volatility risk …