Complete Interview: Bob Whaley Discusses Options Volatility and Volatility Indexes With JLN’s Alex Teng
In this exclusive interview for JLN, Alex Teng sits down with Robert Whaley, a professor and the head of market research at Vanderbilt University, to discuss options volatility and Whaley’s work creating some of the most important volatility indexes in the industry.
Whaley, sometimes called the Father of the Fear Index, spoke about combining an academic career with a career in the trading industry. He worked with a number of industry players in the early 1990s after the October 1987 crash, when index put options on Cboe sold for enormous premiums and so became incredibly volatile. He worked intensively with the exchange’s options data and ended up being approached by the Cboe’s president to develop something more formal around implied volatilities. They gave him a retainer to design an index for them, and he spent four months there developing the VIX index, sometimes called the Fear Index.