Robert Whaley, who created the original VIX in 1992, says the most important thing for markets is to reduce the uncertainty around the coronavirus crisis.
Robert Whaley, director of the Financial Markets Research Center at Vanderbilt University, created the original VIX index in 1992.
In theory, it works on a simple principle: It is a measure of the stock market's expectation of volatility over the following 30 days based on near-term S&P 500 index options, both puts and calls. The higher the number, the greater the expectation that market volatility will be higher over the next 30 days.
Robert Whaley is often referred to as "the father of the fear index." He is the director of the Financial Markets Research Center at Vanderbilt University. He spoke to me by phone from his home in Nashville."The VIX measures expectations of volatility 30 days out. Right now, with the VIX near 70, the index is saying that the intraday swings on the S&P 500 will be 4% to 5% on a daily basis, which is an awful lot of volatility.""We need to reduce the uncertainty level.
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