Wednesday, January 5, 2011

CBOE to Publish VIX-Style Volatility Indices for Individual Stocks

The volatility space continues to expand in the direction of the atomic level, with today’s announcement by the Chicago Board Options Exchange (CBOE) that it will begin disseminating implied volatility data utilizing the VIX calculation methodology for five stocks as of Friday, January 7th.

The five stocks are:

My initial thought include some of the following:
  • It will be interesting to see how much divergence there will be between the CBOE NASDAQ 100 Volatility Index (VXN) and the volatility indices for some of the key components of the NASDAQ-100 index, notably Apple, Google and Amazon
  • A Goldman Sachs volatility index will be particularly useful in terms of financial crisis
  • IBM is an interesting choice for a fifth wheel here, as IBM does not have the same bellwether status that it once did
  • Finally, first with weekly options and now with volatility indices for individual stocks, the CBOE has managed to shorten the scope of volatility analysis both at the issue level and in terms of the time frame. I’m calling this the march toward atomic volatility.
Related posts:
Disclosure(s): the CBOE is an advertiser on VIX and More

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