The VIX index is based on the S&P, I am wondering the feasibility of creating a VIX index for each of the S&P 500 Industries?
Would this even be possible?
The VIX Index is computed from option prices on S&P Index. A VIX-like Index for other industries would first require to have a liquid option market.
In theory that would be possible. However, liquidity in industries could in some instances be substantially less than liquidity in the SPX thus making the hedging of volatility derivatives such as vol futures more difficult. Also, there may not be sufficient interest from investors to make the launching of industry/sector specific vol indices feasible.