You may have seen this announcement from the Chicago Board Options Exchange (CBOE) last week:
“(F)or the first time (the exchange) will apply its CBOE Volatility Index (VIX) methodology to options on individual stocks when it begins publishing volatility values on five highly active equities on Friday, January 7.”
CBOE will calculate values for Apple (NASDAQ: AAPL) using the symbol VXAPL; Amazon (NASDAQ: AMZN) using the symbol VXAZN; IBM (NYSE: IBM) using the symbol: VXIBM; Google (NASDAQ: GOOG) using the symbol: VXGOG; and Goldman Sachs (NYSE: GS) using the symbol: VXGS.
Data on the five equities is available here.
“The new benchmarks are designed to measure the expected volatility of the respective individual equities.
“CBOE may expand the list of individual equities on which volatility values would be calculated in the future, depending on demand,” the exchange reported.
Now there’s certainly nothing wrong with this. In fact it’s a good idea. I would venture to guess that a tiny percentage of traders/investors know how to access this sort of information. Now we have a user-friendly, one-stop shop for it.
One comment though. This is not new data for the best stock picks. You know all those volatility graphs I run here? Like the AAPL volatility graph above? That brown line is more or less VXAPL for the past six months. If these CBOE products generate interest, it will also generate a chorus of interpretations that will sound like discoveries of the Holy Grail. Like “when VXAPL/VIX hits 2.0, the market has crashed two of two times.” I completely made that up by the way, but that’s what to expect going forward.
Ivolatility has made this sort of data public since the late 1990’s. LiveVol has it too. Don Fishback has a comprehensive database on all optionable stocks. The CBOE listings will make it more accessible, that’s all. Frankly, I’d like to see them VIX-up every listed option, and backdate the data as far as possible. That would make it easier to analyze dispersion plays — a comparison of individual stock volatility versus index volatility. Then again, Don has provided data on that for years.
I suspect the CBOE will expand on these listings. Everyone loves all things volatility these days. This is all great data, so the more the merrier.
Follow Adam Warner on Twitter @agwarner.
