Jul 2, 2010

Cornucopia of volatility indexes

I have been slowly adding to my database of volatility indexes. Here's the list I have assembled so far:

VIX - S&P 500
VXD - DJIA
VXN - Nasdaq 100
RVX - Russell 2000
VDAX - DAX, Germany
MVX - S&P/TSX 60, Canada
VSMI - SMI, Switzerland
VFTSE - FTSE 100, UK
VSTOXX - EURO STOXX 50, Europe
VAEX - AEX, Netherlands
VBEL - BEL 20, Belgium
VCAC - CAC, France
VXJ - Nikkei 225, Japan
India VIX - Nifty 50, India
VIMEX - IPC, Mexico ( unlike other indexes it targets 3 month volatility )

And also commodity volatility indexes based on ETFs:

EVZ - FXE, Euro
GVZ - GLD, Gold
OVX - USO, Crude Oil

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