Options on the Vix reflect the expected value of the underlying index at expiry. The Vix index is constructed to reflect 30-day expected volatility in the S&P 500. It references near-term S&P 500 options (SPX). The Vix closed at 11.59 points on February 27, up from 11.14 points on January 3. Vix futures have been trading since 2004.
The week in Risk.net, February 10-16 2017Receive this by email