RT Journal Article SR Electronic T1 The Investor Fear Gauge JF The Journal of Portfolio Management FD Institutional Investor Journals SP 12 OP 17 DO 10.3905/jpm.2000.319728 VO 26 IS 3 A1 Robert E. Whaley YR 2000 UL https://pm-research.com/content/26/3/12.abstract AB The Chicago Board Options Exchange's Market Volatility Index (VIX) is called the “investor fear gauge.” To understand why, it is necessary to understand the index's construction. To understand how VIX performs its role, it is necessary to examine its history and its relation to stock market returns. In this article, the author describes the construction of the volatility index and examines in movements over the past fourteen years.