The Chicago Board Options Exchange Market Volatility Index, a popular measure of the implied volatility of S&P 500 index options.
Questions tagged [vix]
140 questions
8
votes
1 answer
How to make sense of VXX and the people who bought it?
I don't quite understand how anyone would invest in VXX (asides from short-term trades)... Since the VIX term structure is generally in contango, the VXX is doomed to bleed to death.
Therefore, how exactly does this type of structure work (ETN)?…
philmo
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7
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2 answers
Why does VIX need to calculate the Forward term?
From the reference, the Vix Whitepaper of CBOE, I found the formula of VIX.
There are two terms. The first one is focusing on the info from Option contracts. And the second one is focusing on the relationship between the forward index and strike…
Carl Zheng
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4
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How was the old VIX calculated?
Today VIX is computed based on near- and next- term options series which fall into the time period of [23, 37] days. That is what it is now, when they use SPX weekly, so they have options expiring every week.
The question is, how was VIX calculated…
Oleg
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How to value VIX Option?
Could someone tell me a common method for pricing VIX Options please?
Do I need to use a Stochastic Vol Model? Or Local Vol Model is suitable as well?
Should the model be modelling S&P 500 and then recalculate the VIX Index? Or model the VIX Index…
chengcj
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VIX Calculations/Which product?
If the spot VIX is the implied vol off of the options on the SPX Index. But which tradable product would that be? Can’t you technically only buy ETF’s that track the SPX (SPY) or buy the ES futures. The spot VIX index is calculated off the S&P500…
jessica
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2
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If VIX measures SPX IV 30-days in future, how to modify formula to calc IV 60-days in future?
So I've gone over the CBOE VIX white paper a few times and understand it well enough to have written (Ruby) code to produce the correct VIX. I have the older version of the paper where it only used standard/monthly options to produce the number…
Chuck Remes
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Why systematic divergence between ^VIX and VXX?
Why is there systematic negative divergence between the VIX index and the VXX ETF meant to track it?
http://finance.yahoo.com/q/bc?s=%5EVIX&t=5y&l=on&z=l&q=l&c=vxx
noctonura
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Volatility Scaling
Since the VIX is an annualized volatility, to convert it into other frequencies we must divide by the square root of time. So to convert a VIX of 15 into daily volatility, we would need to divide
$$
\frac{15}{\sqrt{252}} = .94
$$
Monthly volatility…
jessica
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