Tagged Questions
2
votes
3answers
401 views
Trading a synthetic replication of the VVIX (volatility of VIX)
In the same spirit as this question: Trading a synthetic replication of the VIX index.
The VVIX tracks the volatility of the VIX.
One cannot directly buy and sell the VVIX index and, as opposed to ...
5
votes
2answers
520 views
VIX = Vega of S&P500 options?
ok, so let assume I can predict the daily change in the VIX itself (in points) every day. what would be the best way to play this with OPTIONS? well, obviously VIX options, but if I can look at the ...
1
vote
1answer
177 views
Calculate historical (ATM) option prices with public data
I just saw the question How to calculate the most realistic historical option prices with additional publicly available parameters and I am interested in the step before that.
How can I calculate ...
7
votes
2answers
713 views
What does the VIX formula measure and how does it work?
I have read the CBOE's white paper on the VIX and a lot of other things, but I need to honestly say, I don't really get it, or I am missing something important.
In semi-layman's terms, is the VIX ...
9
votes
1answer
383 views
Can VIX be interpreted as a proxy for instantaneous volatility?
BJO06 (Table 2) estimate the following Cox-Ingersoll-Ross model for market variance, $\sigma^2_t$:
$\mathrm{d}\sigma^2_t = (\alpha_0 + \alpha_1\sigma^2_t)\mathrm{d}t + ...
7
votes
2answers
1k views
SPX options vs VIX futures trading
Forward volatility implied by SPX options, and that of VIX futures get out of line. If there existed VIX SQUARED futures they could easily be replicated (and arbitraged) with a strip of SPX options. ...
11
votes
6answers
1k views
Why does the VIX index have *any* correlation to the market?
It appears that the log 'returns' of the VIX index have a (negative) correlation to the log 'returns' of e.g. the S&P 500 index. The r-squared is on the order of 0.7. I thought VIX was supposed to ...
