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The Father of the Fear Gauge Says He Feels Reassured by the VIX

Robert Whaley, who built the Cboe’s popular volatility index almost 30 years ago, says he still watches it daily.

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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 Exchange Volatility Index. The VIX was unveiled in Chicago on Jan. 19, 1993.

Now the Valere Blair Potter Professor of Management at Vanderbilt University in Nashville, Whaley connected for an interview via videoconference on April 21, the day after crude oil futures had traded at negative prices for the first time.