Mastering Python for Finance - Second Edition

Interactive Financial Analytics with the VIX

Investors use volatility derivatives to diversify and hedge their risk in equity and credit portfolios. Since long-term investors in equity funds are exposed to downside risk, volatility can be used as a hedge for the tail risk and replacement for the put options. In the United States, the Chicago Board Options Exchange (CBOE) Volatility Index (VIX), or simply called the VIX, measures the short-term volatility implied by S&P 500 stock index options with an average expiration of 30 days. Many people around the world use the VIX to measure stock market volatility over the next 30-day period. In Europe, the equivalent volatility counterpart indicator is the EURO STOXX 50 Volatility (VSTOXX) Market ...