# Tag Info

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You are very close. VIX vol is indeed a vol-of-vol. However the way VIX options actually work is that they expire into the futures, which themselves have value derived from 30-day options on expiration day. That is to say, the VIX spot index today has no direct relationship to the VIX options you can trade today. A VIX option vol is the volatility of ...

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If you look at tick data, you will probably get an even better analysis. However, vix correlation tends to be negative with spx but remember that this is generally more true for when spx tanks. When spx goes up, the correlation isn't as strong. Why? People panic after a drop, therefore leading to people buying options. They don't care about black scholes ...

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1 - For historical reasons options expire on Saturdays, before noon. This has to do with potential reconciliation issues that are largely gone nowadays because of back-office automation. Practically, you can think of SPX index options as expiring at index settle, which is 4:00 pm EST on Fridays for PM expiring options, or 9:30 am EST on Fridays for serial ...

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opp_volume is probably option volume (not sure why it would be shortened to opp with extra p), not open interest. Volume is also more likely to be zero than open interest. The rest is like @SRKX wrote.

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Best bid is the highest price somebody is willing to pay to buy the option. Best off is the lowest price somebody is willing to accept to sell the option. Even if there is no trade, there may very well be limit orders in the order book: there is a potential market but offer and demand are still too far away from each other for trades to happen.

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When I saw these curves they seemed very strange to me. I believe it is a data-quality issue.I went to Bloomberg and I retrieved the implied vols for 70 near ATM strikes of the weekly SPX options expiring November 27 2015 (I believe that is the yellow curve in your diagrams i.e. November 4th week). This was today 2015-oct-27 at about 15:00 New York time. As ...

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These options are not "issued" in the same way, say, employee stock options are "issued". Instead, the expiration months already exist indefinitely into the future, and in a sense options at all expirations already exist. The data series therefore start showing prints when market interest in a given expiration date starts up. This is of course highly ...

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Yes, all of VIX futures are based on THEIR RESPECTIVE front month options, so you have to realize that for long-dated VIX futures these are long-dated options. So for example settlement value of VIX DEC 12 futures will be based on SPX JAN 13 options, which will be front-month options at the time of VIX futures expiration.

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They'll be correlated, and generally close to one another, but rarely identical. In fact differences of 2 points in implied vol are common. The reason for the differences comes down to the portfolio construction and tracking error of the SPY ETF. While generally quite low over a long period of time, the tracking error on a 1-day or less basis can be ...

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The VIX is designed to "represent the implied volatility of a hypothetical at-the-money [SPX] option with exactly 30 days to expiration." (via the CBOE) The calculations are available from the CBOE in this white paper. Note that your question is wrong -- it is the implied volatility, not the vega. Moreover, you wouldn't predict a change in vega (which is a ...

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Generally speaking, volatilities at all points of the vol surface are (positively) correlated in both empirical and theoretical models. So if you feel you have a prediction strategy for the VIX, you have an associated directional prediction for other volatilities, and you can take advantage of that. Directional volatility bets are most often expressed (as ...

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I don't know if I understand your question correctly but the procedure how to calculate ATM option prices with publicly available implied volatility indices (like VXO) for the vol parameter can be found in the mentioned paper on pages 5-7: How Students Can Backtest Madoﬀ’s Claims by Michael J. Stutzer (2009)

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Your Vega of 188.48 is correct, in the sense that matches my calculation. What it means is that if the volatility increase by 1 (i.e. by 100 percentage points, from 19.14% to 119.14%) the call will increase by 188 dollars. Obviously that is an unrealistic move. More realistically if the volatility increases by 0.01 (i.e. 1 percentage point, from 19.14% to ...

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You need to use log of prices, because log of returns are normally distributed. So or where x is return- $$x=-\frac{1}{\tau} ln(\frac{S_{t+\tau}}{S_{t}})$$ The annualized standard deviation can be scaled as +/-$n\frac{\sigma}{\sqrt{\tau}}$ where n is your multiple. You can either ignore or estimate drift. or look at it another way, S refers to the index ...

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In general futures are contract which are marked to market everyday and are settled against the cash/underlying price at a future delivery date. For the SPX, I think there are only deliveries in Mar, Jun, Sep and Dec. In theory, one can calculate the implied future price using the short rates and the spot price. One thing to note is that there is a ...

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