FX Volatility

First published: 2003

Brief summary

CBOE information on currency volatility indices.

Article

The linked Cboe page contains historical data for the VIX and several other volatility indices. It does not provide a dedicated foreign-exchange volatility series, so the spreadsheet topic and source do not match.

The VIX is designed to estimate expected 30-day volatility in the US equity market from prices of S&P 500 index options. Cboe provides daily closing values from 1990 onwards, together with historical data for related indices.

Because the VIX is widely used as a measure of global risk aversion, it is sometimes compared with exchange rates, capital flows and currency-market stress. Such relationships are empirical and can vary across currencies and time periods.

A direct study of foreign-exchange volatility would instead use realised changes in currency prices or option-implied volatility for specific currency pairs. The linked data should therefore be identified as equity-market volatility data rather than FX volatility data.

Source details and credits

• Source / publisher: Cboe
• Source type: Data portal
• URL type: WWW
• Credits: Cboe
• URL: https://www.cboe.com/tradable_products/vix/vix_historical_data/