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Valere Blair Potter Professor of Management (Finance)

Director, Financial Markets Research Center



A frequent contributor to Wall Street Journal, New York Times, Marketplace, and other news organizations on topics of market volatility, Bob Whaley is renowned as the “father of the fear index” - the VIX, created for the CBOE in 1993.


Awards & Accomplishments

Professor Whaley has received a number of grants and awards, including the 1989 Richard and Hinda Rosenthal Foundation Award for innovation in finance research, the 1993 Earl M. Combs, Jr. Award for contributions to the futures industry, a Chicago Board Options Exchange 40th Anniversary Award for contributions to listed options markets in 2013, the 2015 Joseph W. Sullivan Options Industry Achievement Award, and the 2015 William F. Sharpe Lifetime Achievement Award.


Many of his research papers have received awards, including the Graham and Dodd Scrolls Award for Excellence in Financial Writing from the Financial Analysts Journal in 1986 and 1987, the Bernstein Fabozzi/Jacobs Levy Award for Outstanding Article published in the Journal of Portfolio Management during the volume year 1999-2000, the E. Yetton Award for Best Paper in the Australian Journal of Management in 1997 for his work on program trading and futures option valuation, the CBOT Award for Best Paper on Futures at the Western Finance Association meetings in 1993 for his work on dual trading, the Canadian Securities Institute Award for Best Paper in Investments at the Northern Finance Association meetings in 1989 for his work on market volatility prediction, and an EOE Prize from the Institute for Quantitative Investment Research Europe in 1995 for his work on deterministic volatility functions, and the Bernstein Fabozzi/Jacobs Levy Award for Outstanding Article published in the Journal of Portfolio Management during the volume year 2008-2009.



Professor Whaley is an established expert in derivative contract valuation, risk management, and market operation. He has been a consultant for many major investment houses, security (futures, option, and stock) exchanges, governmental agencies, and accounting and law firms. Whaley developed the CBOE Market Volatility Index (i.e., the “VIX”) for the Chicago Board Options Exchange in 1993, the NASDAQ Market Volatility Index (i.e., the “VXN”) in 2000, and the BuyWrite Monthly Index (i.e., the “BXM”) in 2001. He also co-developed the NASDAQ OMX Alpha Indexes.



Professor Whaley has published seven books, including his most recent work entitled Derivatives: Markets, Valuation, and Risk Management published by John Wiley & Sons, Inc.


Research Interests

Professor Whaley’s research focuses on volatility products, high-frequency trading and market volatility, market microstructure, and relative performance options. His research has been published in top academic and practitioner journals, and he is a frequent presenter at major conferences and seminars.



PhD, Toronto, 1978

MBA, Toronto, 1976

BComm, Alberta, 1975

Further Reading

Curriculum Vitae (PDF)

Derivatives: Markets, Valuation, and Risk Management

Derivatives on Market Volatility

Nasdaq OMX Launches Innovative Alpha Indexes

Personal Website

Return and Risk of CBOE Buy Write Monthly Index

Understanding the Vix

Whaley Named Winner of Faculty SEC Achievement Award

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