The ticker symbol for the Chicago Board Options Exchange (CBOE) Volatility Index, which shows the market’s expectation of 30-day volatility. It is constructed using the implied volatilities of a qide range of S & P 500 index options. This volatility is meant to be forward looking and is calculated from both calls and puts. The VIX is a widely used measure of market risk and is often referred to as the “investor fear gauge”.
There are three variations of volatility indexes: the VIX tracks the S & P 500, the VXN tracks the Nasdaq 100 and the VXD tracks the Dow Jones Industrial Average.
Source: http://www.investopedia.com
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