Is there something similar to the VIX but related to the convertibles bonds market in the U.S. ?

Thanks, Max.

  • $\begingroup$ Hi, I don't know of such an index but you could try to calculate an index yourself. In the VIX whitepaper, you can see the calculation methodology: cboe.com/micro/vix/vixwhite.pdf I think one of the problems is that the built-in options in convertible bonds all have different underlyings and are usually not of plain vanilla type. Just look at 3-5 random prospectus of convertible bonds - you will usually find lots of different trigger levels and optionalities. That makes it harder to compare the options in two different convertible bonds let alone a whole CB index. $\endgroup$
    – vanguard2k
    Jan 29 '15 at 9:03
  • $\begingroup$ Thanks, I found something similar with the implied volatility in the U.S. Convertibles index $\endgroup$
    – Maxime
    Jan 29 '15 at 9:21

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