Vix - History

History

Here is a timeline of some key events in the history of the VIX Index:

  • 1987 - The Volatility Index was introduced in an academic paper by Professor Menachem Brenner and Professor Dan Galai, published in Financial Analysts Journal, July/August 1989. Brenner and Galai wrote, "Our volatility index, to be named Sigma Index, would be updated frequently and used as the underlying asset for futures and options... A volatility index would play the same role as the market index play for options and futures on the index."
  • 1992 - The American Stock Exchange announced it is conducting a feasibility study on a volatility index, proposed as the "Sigma Index." "SI would be an underlying asset for futures and options that investors would use to hedge against the risk of volatility changes in the stock market."
  • 1993 - On January 19, 1993, the Chicago Board Options Exchange held a press conference to announce the launch of real-time reporting of the CBOE Market Volatility Index or VIX. The original formula for VIX was developed for the CBOE by Prof. Robert Whaley and was based on CBOE S&P 100 Index (OEX) option prices.
  • 2003 - The CBOE introduced a more detailed methodology for the VIX. Working with Goldman Sachs, the CBOE developed further computational methodologies, and changed the underlying index the CBOE S&P 100 Index (OEX) to the CBOE S&P 500 Index (SPX).
  • 2004 - On March 26, 2004, the first-ever trading in futures on the VIX Index began on the CBOE Futures Exchange (CFE).
  • 2006 - VIX options were launched in February 2006.
  • 2008 - On October 24, 2008, the VIX reached an intraday high of 89.53.

Between 1990 and October 2008, the average value of VIX was 19.04.

In 2004 and 2006, VIX Futures and VIX Options, respectively, were named Most Innovative Index Product at the Super Bowl of Indexing Conference.

Michael Harris has argued that VIX just tracks the inverse of price and it has no predictive power as a result.,

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