Questions tagged [vix]
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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What theoretical distribution best fits the vix?
What theoretical distribution best fits the vix?
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Garch Model with Vix as external regressor un dummy rugarch r studio
I would like to try to replicate this variance dummied model in r studio, to try to compare garch vs i.v in forecasting vol:
Data : S&P 500 log-return from 03.01.2020 to 31.12.2022
Ext regressor : ...
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Pricing VIX derivatives using Monte Carlo
I am looking at pricing VIX options and futures using Monte Carlo simulation. Most papers recognise that VIX can be written in terms of the S&P500 index itself, namely as:
$$
VIX_t = \sqrt{-\frac{...
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Joint SPX and VIX calibration - volatility surfaces construction
I am currently researching the joint calibration problem of SPX options and VIX options. A question that comes to mind is the construction of each assets respective volatility surface.
In the articles ...
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What is the intuition behind the VIX formula offset term [duplicate]
In the formula for the VIX we have that the spot value for the VIX is:
The first part of this equation is exactly the formula for the price of a variance swap which is the present value of realized ...
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Access expired options data [duplicate]
I would like to access expired options data, for example, I would like to know the evolution of the call price for a certain option, during the month before the expiry date, which would for example be ...
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How VIX ETF Rolls to follow the SP 500 VIX Index
I was reading the Methodology that S&P uses in order to construct VIX index VIX S&P Methodology If I understood it right, the VIX Short-Term Futures Index works as follows:
Notice that both ...
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The Holy Grail of Volatility Modelling: The SPX & VIX - Why?
I am currently researching a pre-print article by Julien Guyon & Jordan Lekeufack (2022): Volatility Is (Mostly) Path-Dependent.
Their model is quite impressive in both its simplicity, as well as ...
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VIX/VSTOXX futures data in quantmod [duplicate]
To download financial data, I am using the R library quantmod - which uses Yahoo Finance data.
I want to download the future prices with shortest maturities for VIX and VSTOXX.
Nevertheless, on Yahoo ...
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VIX options: vertical mark price vs. term structure
Does anyone have any hypothesis why, for options on a future series, vertical spreads priced at half the strike difference should exhibit the same strike across all expirations, regardless of term ...
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Implied volatility for different expiration dates
So VIX provides implied volatility for a 30-day time horizon. I would imagine that when VIX "spikes", the implied volatility of longer dated options would exponentially decay, due to a mean ...
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When calculating VIX, how to deal with the problem of asymmetry of put and call data?
I'm trying to calculate the VIX index according to the methodology of CBOE. I am looking at commodity options. I found that at some time, like at this minute, there are 13 call options out of the ...
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Forecasting VIX with GARCH(1,1)
Aim: Forecast VIX using GARCH(1,1)
Reason: I want to be able to forecast VIX on several horizons, in order to be able to forecast the SP500 index through linear regression.
Tools used: Python, ...
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Why do VIX spot and futures converge if there is no cash and carry arbitrage?
Since VIX spot is not tradable, why do the futures and spot converge @ expiration? By what mechanism does this occur if arbitrage is not one of them?
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How to calculate the term structure of an index that doesn’t have futures
I would like to calculate the term structure of the VVIX index.
Only way I have found so far is forecasting historical prices N months out.
Any other idea?
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How To Construct A Volatility Spread Position?
Is there a simple way to spread the volatility of one product against another? By simple I mean one trade executed on each leg rather than constant delta hedging.
I can see a lot of opportunity for ...
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Derive the price of log contract
I am reading the Neuberger [1999] Log Contract paper and really confused on the log contract.
So if the payoff is $\ln(S_T)$, then we can easily solve the price of such derivative:
$$f_t^s = e^{-r(T-t)...
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Relationship between VIX and Vega
Assuming that all other factors (such as underlying price, strike price, etc.) remain unchanged, I want to see how a spike in VIX would affect the price of the average call option? Assume Vega is ...
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Does fear or greed drive option prices?
Frequently we hear that implied volatility being higher (as measured by VIX) indicates fear in the stock market. It is assumed that investors buy more puts for downside protection, driving put option ...
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Forward Index Level in VIX calculation
The VIX white paper (https://cdn.cboe.com/resources/vix/vixwhite.pdf) step #1 (page 6) says the the Forward Index Price is calculated as:
F = Strike Price + e^RT x (Call Price - Put Price).
Why doesn'...
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VIX options underlying: Can I safely use Put-Call parity instead of VIX futures
Couple of basic questions:
1- I'd like to calculate the implied of VIX options intraday, without access to intraday VIX futures.
In the absence of VIX futures as underlyings, what would be the ...
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Understanding the BAML MOVE index
Hello quant community.
I am looking for more information about a very interesting index: BAML-ICE MOVE index. There is very little literature online that details how the index levels are calculated ...
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How does VIX interpolate implied volatilities?
In the CBOE VIX white paper (direct link to PDF), it is explained that once the implied volatility of the near and next-term options $\sigma_1^2$, $\sigma_2^2$ are found, the constant-maturity 30-day ...
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VIX ATM Options Delta
VIX ATM options seem to have delta that is very far from .5 (.18/.82 for 60dte now) with .5 being in 30 territory.
Why is this very different from stock options? Why is atm put much less sensitive to ...
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Estimating delta of VX futures to S&P 500
I'm trying to think about the right way to estimate the delta of a VX contract to the S&P 500. VX futures are on the VIX index, which is a basket of S&P 500 options. By extension, VX and ES (E-...
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Practical Effect of Time-Decay on Variance Swaps?
I want to implement a long vol hedging strategy by rolling spot variance swaps every month. This would be done through replicating spot VIX using the definition of VIX as a portfolio of OTM one-month ...
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Does shifting/scaling the IV surface relatively/absolutely introduce arbitrage?
I am fitting a volatility surface for vanilla call options. I do this by fitting low-degree polynomials (or cubic splines) along the strike dimension per maturity and then linearly interpolating ...
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Black76: Pricing options on futures
I am trying to roughly approximate (not really price) options on VIX futures whereby the VIX future is estimated using their bounds. If the option is approximated using the Black model, how do you ...
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VIX vs historical volatility
I'm relatively new to this field and would like to ask a couple of questions.
I'm doing some analysis and I would like to compare/plot VIX vs historical volatility of SPX. I have daily VIX and SPX ...
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Can we use a VIX-like method to calculate implied volatility for Black Scholes model?
So I understand that the VIX is an estimate of implied volatility. Volatility can also be calculated from the Black Scholes model. My question is can we use a VIX-like method to calculate implied ...
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Why are model-free implied volatility indices (like VIX) only available for large indices and a few large stocks?
The CBOE VIX (i.e. model-free implied volatility) is only available for larger stock market indices and a few large stocks (see the CBOE website). As I am currently working on deriving VIX for a ...
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Interpretation of Volatility of Volatility (VVIX)
Recently I came across the VVIX index (also known as VIX of VIX), which represents the 30 day implied (expected) Volatility of the VIX Index. I studied CBOE's Whitepaper for the VIX, which explains ...
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VIX vs S&P: Drift in the hedging residual?
I am looking at the daily returns of the VIX index (dVIX ) and the daily returns of the S&P 500 (dS).
I am running a linear regression (using 0 intercept) and get a regression slope of -1.4, i.e.
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Contango and backwardation in VIX futures
I understand the meanings of contango and backwardation, but I'm trying to better understand the theory behind what creates each. For future readers of this question, here are the examples from the ...
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Historical VIX term structure data
I see that there is a CBOE page for collecting individual moments of term structure data, however, I'm wondering if anyone knows how to access historical data in bulk. Here's the CBOE page:
http://...
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vix-like index for mid caps
Is there a vix-like index available for s&p 400 mid-cap instruments? i.e., implied vol based on s&p 400 put and call options? also, an iv for the s&p 600? thank you
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How to predict realised variance?
I am trying to predict the realised daily close to close variance of an equity index.
I checked the literature on volatility forecasting and tried a bunch of things on a dataset for the S&P 500....
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backtest VIX term structure strategy [closed]
I'm trying to implement a few simple VIX strategies (1/0/-1-signals based on MA crossover, term structure, hvol vs ivol) in Python. I am new to quant and volatility, but looking at the VIX properties ...
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VIX lagging or leading indicator
Could somebody help me understand if the VIX is a leading or lagging indicator.
From the CBOE whitePaper ( https://www.cboe.com/micro/vix/vixwhite.pdf). I've understood that the VIX tries to ...
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VIX and Realised Volatility Scaling
I have calculated the VIX implied volatility according to the CBOE Whitepaper:
\begin{equation*}
\sigma^2 = \frac{2}{T} \left(\sum_i \frac{\Delta K_i}{K_i^2} Q(K_i) e^{rT} \right) - \frac{1}{T} \...
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Deriving the VIX formula
I am having trouble filling in a few steps in the derivation.
From Martin (2017), we get the following assumptions:
Constant continuously compounded rate $r$;
The underlying doesn't pay dividens;
...
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How are VIX futures being priced when the VIX itself is not being calculated because of circuit breakers
I see that CBOE has halted trading all SPX options, which means the VIX cannot be calculated. Yet VIX futures are still trading and we are very close to the last trade date for the March contract.
I ...
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VIX OTM put options decrease value after sharp decrease of underlying
I was wondering about disentangling an effect I saw on the market yesterday. I saw nearly all OTM VIX put options with maturity date 15/04/2020 decrease in value while at the same time the VIX took a ...
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What is a good way to think about and estimate VIX half life?
Would it make sense to run an AR(1) regression to estimate a beta and then estimate the half life as -ln(2)/beta?
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Risk-neutral Simple Return Moment Log-return Moment
I am trying to find a way to link Risk-neutral moment of simple return to risk-neutral moment of log-returns.
Specifically, by making the same standard assumptions of the Black-Scholes model with the ...
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Calculating front month VIX future returns
I'm currently reading a paper* which deals with seperating the volatility of volatility index (VVIX) into a physical measure of volatility of volatility (RVVIX) and a risk premium of v.o.v (VVRP). To ...
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Correlation Gold and SPX in BBG
I was always under the impression that gold as a safe haven was more or less inversely correlated to the general market.
After using the HRA function in Bloomberg I saw that the correlation is just -...
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Undergrad Thesis about the VIX
For week's I've been searching for an interesting undergrad Thesis in finance. I have some things in mind, but I don't want to leave outany opportunity for inspiration, so: Is there an interesting ...
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Option Selection (rollover rules) in calculating intraday CBOE VIX (post 2014)
In calculating the CBOE VIX (post 2014) one has to select near- and next-term options, which are defined as options with >23 days and <37 days to maturity. As time moves on, a currently selected ...
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How many options would be required to dynamically replicate the VIX nowadays?
The VIX is a portfolio of OTM options on the SPX with non-zero quotes.
From CBOE white-paper:
Only SPX options quoted with non-zero bid prices are used in
the VIX Index calculation. [...] As ...
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