Volatility
A statistical measure of how sharply and rapidly the price of an asset changes over time.
What is Volatility?
Volatility is a statistical measure of the dispersion of returns for a given security or market index, indicating how dramatically prices fluctuate over a given period. High volatility means prices can change dramatically in a short time, in either direction. Low volatility means prices change more gradually. Volatility is often measured using standard deviation of logarithmic returns, and is a key input in options pricing models such as Black-Scholes. The CBOE Volatility Index (VIX), often called the 'fear gauge,' measures expected 30-day volatility in the S&P 500 options market.
Example
The VIX spiked to 82.69 on March 16, 2020 — its highest level ever recorded — as global equity markets collapsed in response to the COVID-19 pandemic, surpassing even the 80.86 peak reached during the 2008 Global Financial Crisis.
Source: CBOE — VIX Index