Timeline for Estimating delta of VX futures to S&P 500
Current License: CC BY-SA 4.0
5 events
| when toggle format | what | by | license | comment | |
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| Jan 27, 2021 at 6:59 | comment | added | demully | Yes, there is. At least in equities, skew is positive, ie vols are much higher for lower strikes, so ATM vol increases into lower index values. But (in theory), VIX is not based on ATM vol but on all strikes across the "smile". In practice, beta of returns somewhere in a 500-1000% range; and equity vol not stochastic in the first place! . | |
| Jan 27, 2021 at 6:53 | comment | added | user34971 | @noob2 I'm far from being an expert really (and that's not false modesty), but thanks. Although under SV models vol derivs do not have delta exposure to spot movements, the implied vol wil have spot exposure as you point out. Isn't Bergomi's skew stickiness ratio related to this? Let me check / think about it. | |
| Jan 26, 2021 at 20:55 | comment | added | nbbo2 | You are the vol expert: Shouldn't there be a relation between the IV skew and the response of ATM vol to a decline in S&P? (I flunked an interview question on this subject, so I don't know). | |
| Jan 26, 2021 at 19:58 | history | edited | user34971 | CC BY-SA 4.0 |
added 81 characters in body
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| Jan 26, 2021 at 17:04 | history | answered | user34971 | CC BY-SA 4.0 |