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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173 views

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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81 views

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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83 views

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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65 views

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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86 views

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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1answer
64 views

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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40 views

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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1answer
142 views

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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1answer
140 views

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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1answer
89 views

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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192 views

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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109 views

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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95 views

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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1answer
136 views

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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255 views

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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91 views

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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1answer
75 views

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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125 views

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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1answer
152 views

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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135 views

Double jumps stochastic volatility model (SVCJ, Duffie et al, 2000) - characteristic function for VIX

Currently I am working at my master's degree paper where I want to evaluate VIX options using stochastic volatility jump models.I got some MATLAB codes for the SVCJ model for the S&P, but as the ...
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1answer
544 views

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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1answer
204 views

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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160 views

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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105 views

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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1answer
121 views

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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1answer
156 views

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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300 views

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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168 views

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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243 views

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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1answer
244 views

Futures short interests vs open interests

I came across this article talking about "short interests" in VIX futures. My question is what does "short interest" even mean here? My understanding is that the futures are not "issued" (opposite ...
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82 views

How to shock the IV surface w.r.t VIX and keep AOA

I have to compute the sensitivity of a set of option prices on a single sotck (range of tenor is over the whole surface) to an increase of 100% in the VIX.. and I am trying to get to the most ...
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672 views

What is the appropriate benchmark for a Long/Short VIX futures strategy?

Trying to figure out the benchmark for a L/S Vix futures stragegy, doesn't seem like only long or short Vix futures would be appropriate, any ideas? Thx
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428 views

Why does VIX need to calculate the Forward term?

From the reference, the Vix Whitepaper of CBOE, I found the formula of VIX. There are two terms. The first one is focusing on the info from Option contracts. And the second one is focusing on the ...
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515 views

Why not just be long VIX and wait for the next volatile period?

Over the past 3 months, VIX has been relatively low. Therefore, there seems to be a "free-lunch" here by just being long VIX, and wait for the next market turmoil (which is happening at the moment ...
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390 views

Time weighted Vega for a VIX future contract

How to calculate the time weighted Vega applicable for a 3 month future contract (Expiring in 82 days)? Vega with S&P500 as base
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289 views

Effect of Vol-of-Vol on VIX

What is the effect of vol-of-vol of an underlying on the VIX Index? The VIX is computed as hedging portfolio of log contracts to isolate pure volatility exposure without specifying an underlying ...
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527 views

The VIX Flip Indicator

I came across this article discussing how the VIX Flip Indicator tracks the fear of investors. It seems to be an interesting tool, which I would like to investigate. The calculation of this indicator ...
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1k views

Derivation of VIX Formula

I've read a lot of derivations about VIX formula. I can say it is -adjusted- fair strike of variance swap. But I can't see how it goes from variance swap rate to VIX formula. In particular I can't see ...
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256 views

VXX Put pricing

Last week at Friday's close, the Dec 14 37.5 Put options were selling for \$.68 with VXX at \$40.29. This week at Friday's close, the Dec 21 37.5 Put options were selling for \$.38 with VXX at \$40.50....
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510 views

How to hedge a short VIX position with SPY

Assuming it's Nov 15th, and the SPY is trading at 217.2. Suppose I sell 11 contracts with Dec. 21 maturity. How many shares of SPY do I buy to hedge my VIX futures position?
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134 views

For equity options, does the implied vol change if the price of the underlying does?

For example, consider S&P options. My reasoning is rooted in the fact that VIX returns and S&P returns have a negative relationship, since VIX is a measure of S&P options' implied vol. ...
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86 views

Expected VIX at different levels of SPX

I'm looking for a model that computes the expected VIX based on SPX price moves. For instance, SPX is currently at around 2650, and VIX is at 24. If SPX jumps to 2600, at what level would the VIX be? ...
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213 views

Volatility Index for Industries

The VIX index is based on the S&P, I am wondering the feasibility of creating a VIX index for each of the S&P 500 Industries? Would this even be possible?
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Estimation of the variance risk premium via VIX

Suppose I have the formula for computing $\mathbb E^P\big[\int_0^T v\,dt\big]$ for the variance process $v$ in the real world measure $P$. Can I set it to the VIX$^2$ price and solve for the variance ...
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141 views

Modelling VIX futures backwardation

I have VIX futures trading algorithm and would like to perform Monte-Carlo simulation of VIX and understand how my algorithm performs on each simulation. In this case, not only VIX should be modeled, ...
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206 views

VIX/SPX Realized Beta Calculation

In https://globalmarkets.bnpparibas.com/r/Volatility_Express_20171128.pdf?t=BG3REXwMP3NZJRN7wY5Vt&stream=true, it states that 3M VIX/SPX realized Beta calculation: Use a blend of 1st, 2nd and 3 ...