The VIX ‘fear’ index: a justified nickname

It was first created in 1993 and uses liquid exchange-traded options on the S&P 500 at (or nearest to) 30-day maturity to calculate a precise value for implied volatility. Over the years, the VIX has become an important barometer of market activity. It is sometimes known as the fear index since high levels of the VIX demonstrate high market volatility and with the expectation of possible large future moves, the fear that they could be on the downside. The notion of implied volatility (as o