# 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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### How to find a probability of VIX moving from one price to another

I asked a similar question on here with a bounty. I decided to modify the question to simplify what I am trying to do. Is there a package on MATLAB or some other tool where I can find the probability ...
80 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? ...
321 views

### Is there really a negative roll yield for futures in contango?

I am trying to wrap my head around how ETFs that track futures work (whether its USO tracking WTI futures or VXX tracking VIX futures). I have read online about how for normal contango environments, ...
203 views

### Forecast biasness of VIX term structure

I'm interested in the topic of VIX futures being overpriced, so I'm looking for different models to find evidence for it. Asensio 2013 uses a regression to evaluate the forecast biasness of the VIX ...
358 views

### vix futures vega per contract and tvix vega per share

How much vega in spx terms (straddle contracts) or dollar value is in 10 vix futures contacts and 10000 shares of tvix
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### Is the VIX a Martingale?

Say the S&P500 follows a Gaussian diffusion process, so that: $$VIX^2_{T,t}=\frac{1}{T}\mathrm{E}_t^\mathbb{Q}\left[\int_t^{t+T}\sigma_s^2ds\right]$$ where $T$ is the tenor (assume fixed), $t$ ...
68 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
120 views

### 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 ...
108 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, ...
107 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 ...
143 views

### SPX/VIX Implied Beta Calculation

In https://globalmarkets.bnpparibas.com/r/Volatility_Express_20171128.pdf?t=BG3REXwMP3NZJRN7wY5Vt&stream=true, it states that 3M VIX/SPX implied Beta = (VIX 3M IVOL*VIX 3M futures)/SPX 3M IVOL ...