Amex Volatility Index
The term Amex Volatility Index refers to a composite derived from the bid / ask quotes of NASDAQ 100 options. The Amex Volatility Index measures the implied volatility of a NASDAQ 100.
The Amex Volatility Index was created to measure investor sentiment about the future. Specifically, those expectations around what are termed the “new economy” stocks of the NASDAQ 100. The index measures the implied volatility of a hypothetical, constant-maturity, one-month, at-the-money option. The index is expressed in terms of the standard deviation of returns. This means a value of 25 suggests investors can expect that in the coming year, the NASDAQ 100 (QQQ) could be as high as 25% above its current value or 25% below its current value.
First published on January 23, 2001, the Amex Volatility Index is refreshed every trading day between the hours of 9:30 a.m. and 4:15 p.m. Eastern Time. The performance of the index can be tracked using the stock ticker QQV.