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The Father of the Fear Gauge Says He Feels Reassured by the VIX
The Father of the Fear Gauge Says He Feels Reassured by the VIX
16 May 2020, 03:08 AM IST
(Bloomberg Markets) -- Robert Whaley spent the last four months of 1992 in a small town near Dijon, France, with a set of large hard drives containing what was then the entire series of index option prices from the Chicago Board Options Exchange. On sabbatical from Duke University, he’d been commissioned by the exchange to create a volatility index. With two powerful PCs, he worked out the formula for the Chicago Board Options Exchan...
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