What is the VIX index?

What is the VIX index?

Approach: Explain what VIX measures and how it's constructed.

Chicago Board Options Exchange Volatility Index. Measures market expectation of 30-day S&P 500 volatility implied by option prices. Calculated from weighted average of SPX option prices.

Follow-up: How is VIX calculated exactly?

Key concepts: implied volatility, options market, fear index.