Information
The CBOE (Chicago Board Options Exchange) Volatility Index (VIX) is a key measure of market expectations of near-term volatility conveyed by S&P 500 stock index option prices. The VIX measures the market’s expectation of 30-day volatility. The VIX is based on S&P 500 index option prices and incorporates information from the volatility skew by using a wider range of strike prices rather than just at-the-money series.
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The CBOE database is provided via the Belk College’s WRDS subscription. If you have a WRDS subscription, login here. To get a WRDS subscription you must request an account. Please click Question/Comments link in the menu if you have questions, concerns or difficulties getting the account set up.
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