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Volatility index creator seeks to invent new tool to measure 'ambiguity'

Menachem Brenner discusses why VIX is low in time of uncertainty

New York University professor Menachem Brenner, a pioneer of the volatility index, is now striving to quantify "ambiguity." (Photo by Kenji Kawase)

HONG KONG -- One of the hottest topics being discussed in global stock markets these days is volatility -- or rather, the lack of it. The most widely quoted benchmark, the Chicago Board Options Exchange's volatility index, better known as the VIX, has fallen below a reading of 10 during the past few weeks, approaching its lowest point since its inception in 1993.

The big question is why the index, which is considered to be a gauge of fear in the stock market, has been so low, particularly during a time of uncertainty, including the geopolitical risk posed by North Korea and the unpredictability of U.S. policy under President Donald Trump.

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