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March 11, 2010

VIX Volatility Index Remains near 2010 Lows

Oie_VIX_advanced_II The VIX closed at 18.57 yesterday.  This is down significantly from the earlier February high of 26.36.  VIX, the volatility index, matters because it is a forward looking measure of volatility in the S&P 500.  It is calculated by the Chicago Board Options Exchange using a range of options prices.  So what is the current number saying?  Over the next 30 days, the index options market expects the S&P 500 to move up or down 5.4%.  This volatility levels are relatively low.  In January 2009, the VIX was above 50.0, before the Dow (DJIA) reached its March 2009 low of 6,547.

Posted at 07:54 AM in ECONOMIC NEWS |

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