IDEAS home Printed from https://ideas.repec.org/a/wsi/rpbfmp/v25y2022i03ns0219091522500205.html
   My bibliography  Save this article

VIX Implied Volatility as a Time-Invariant, Stationary Assessor of Market Nervousness/Uncertainty

Author

Listed:
  • Ehud I. Ronn

    (Department of Finance, McCombs School of Business, The University of Texas at Austin, 2110 Speedway Stop B6600 Austin, TX 78712-1276, USA)

Abstract

Financial markets serve numerous roles, amongst them of course is the uncoerced exchange of securities. In addition to that role, they serve a very useful function of conveying to market observers the information about the future, with the challenge being our ability to elicit and interpret that information. This paper addresses that latter function regarding the option markets which provide the value for the VIX 30-day implied volatility on the S&P 500 Market Index. It is demonstrated that the peak values of VIX during Persian Gulf I (1990–1991) and Persian Gulf II (2003) were nearly identical. The VIX measure is then computed during the crises of 2008–2009, 2020 and 2022. Critically, this paper demonstrates the valuable informational content provided by the “term structure of VIX†, the set of cross-sectional implied volatilities observed with different times to expiration.

Suggested Citation

  • Ehud I. Ronn, 2022. "VIX Implied Volatility as a Time-Invariant, Stationary Assessor of Market Nervousness/Uncertainty," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 25(03), pages 1-13, September.
    • Handle: RePEc:wsi:rpbfmp:v:25:y:2022:i:03:n:s0219091522500205
    DOI: 10.1142/S0219091522500205
    as

    Download full text from publisher

    File URL: http://www.worldscientific.com/doi/abs/10.1142/S0219091522500205
    Download Restriction: Access to full text is restricted to subscribers
    File URL: https://libkey.io/10.1142/S0219091522500205?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wsi:rpbfmp:v:25:y:2022:i:03:n:s0219091522500205. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Tai Tone Lim (email available below). General contact details of provider: http://www.worldscinet.com/rpbfmp/rpbfmp.shtml .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.