Which of the following statements is NOT true of the VIX?
A) It is calculated based on prices of call and put options of the S&P 500.
B) Investors who want to hedge against stock market volatility can sell VIX options.
C) A VIX of 10 indicates investors expect the S&P 500 to fluctuate by 10% at an annual rate over the next 30 days.
D) The VIX is a measure of fear in the stock market.

Question

Quizplus · Accepted Answer

Investors typically buy VIX options (not sell) to hedge against stock market volatility. Selling VIX options would involve taking on risk rather than hedging against it.

Which of the Following Statements Is NOT True of the VIX