The Chicago Board Options Exchange Market Volatility Index, a popular measure of the implied volatility of S&P 500 index options.

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why Implied Vol (VIX) increase with decrease in Stock Price or vice versa?

why Implied Vol (VIX) increase with decrease in Stock Price or vice versa? whereas Vega is positively related with change in option price to change in stock price.
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Forecast biasness of VIX term structure

I'm interested in the topic of VIX futures being overpriced, so I'm looking for different models to find evidence for it. Asensio 2013 uses a regression to evaluate the forecast biasness of the VIX ...
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Does Bakshi, Kapadia and Madan (2003) VIX building approach underestimate volatility?

From a paper that shortly addresses an alternative approach to VIX-like index building: To test this approach, I've built a fake book of B&S options with constant volatility equal to $\sigma=...
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vix futures vega per contract and tvix vega per share

How much vega in spx terms (straddle contracts) or dollar value is in 10 vix futures contacts and 10000 shares of tvix
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Model Free VIX Calculation in Python

I have previously seen this implementation and had meant to replicate it, but can't find it any longer. Does anyone know of a python implementation of the CBOE Volatility Index? Yes, the white paper ...
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96 views

VIX ETP Net Vega exposure

Does anyone know the calculation that these EQD desks are using to calculate the net Vega exposure of the VIX ETPs? I am assuming it involves shares outstanding in each ETP, the value of a 30 day ...
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How to find or calculate 30-day constant maturity price of a future?

Question, pretty much says it. Is there a reliable place where this data can be found or, if not, is there a reliable place where the underlying data needed to calculate the constant maturity price ...
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Motivation for hedging volatility using VIX ETNs

i wondered what the motivation for professional investors could be to engage in VIX ETNs. Would they even think about trading this kind of product? (they normally should have access to VIX options, ...
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How to hedge a long stock with the corresponding volatility ETF

Let us say I want to establish a market neutral position. So if I buy 50 shares of stock (SPY) and I want to delta hedge, I sell an ATM covered call. So that brings the position delta to 0. Now, I ...