what kind of adjustments are needed to VIX series so that it could be used to approximate BS IV in calculating near-term (EDIT: weeklys) SPY at-the-money call premiums/deltas?

thanks a lot.

  • $\begingroup$ VIX should be a good estimate of ATM vol for 30 day SPY options $\endgroup$ – Alex C Sep 18 '16 at 3:40
  • $\begingroup$ I was thinking weeklys. Last week, SPY 1 week 0.5% OTM calls had an IV of ~14% while VIX was several points higher. It could also be the other way, perhaps. So I feel using VIX as is is error prone $\endgroup$ – Dinesh Sep 18 '16 at 5:01
  • $\begingroup$ I'm surprised no one publishes an SP500 volatility surface regularly. Google around for this. I found a few hits almost immediately. $\endgroup$ – barrycarter Sep 20 '16 at 16:20

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