The Chicago Board Options Exchange (CBOE) introduced the CBOE Volatility Index (VIX) in 1993. The index has come to act as the benchmark for stock market volatility and, more generally, investor sentiment. The VIX has proven to be very useful in forecasting the future market direction especially...

This paper investigates daily and intraday properties of the VIX and its predecessor the VXO. Sampling data at a one-minute frequency, we document that both the VIX and VXO display a negative drift intraday. While this finding is expected in the VXO, given its constant 30-day maturity at a daily...