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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Trading a synthetic replication of the VIX index
One cannot directly buy and sell the VIX index. Theoretically, however, one could approximate the index by purchasing an at-the-money straddle on the SP500, then delta-hedging the straddle.
Does ...
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Why is the VIX futures market usually in a state of contango?
I'm a VIX newbie and I'm trying to understand why the VIX futures market is usually in a state of contango.
All I can figure is that the sellers of VIX futures contracts demand high "prices" (because ...
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What does the VIX formula measure and how does it work?
I have read the CBOE's white paper on the VIX and a lot of other things, but I need to honestly say, I don't really get it, or I am missing something important.
In semi-layman's terms, is the VIX ...
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Why does the VIX index have *any* correlation to the market?
It appears that the log 'returns' of the VIX index have a (negative) correlation to the log 'returns' of e.g. the S&P 500 index. The r-squared is on the order of 0.7. I thought VIX was supposed to ...
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Hedging stocks with VIX futures
It seems that VIX futures could be a great hedge for a long-only stock portfolio since they rise when stocks fall. But how many VIX futures should I buy to hedge my portfolio, and which futures ...
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How does UBS hedge its exposure to XVIX ETN?
I am wondering how UBS hedges its exposure to its ETN XVIX. Unless I am grossly overestimating the trading costs, executing the strategy they describe in their prospectus with futures would be quite ...
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How can one compute the Greeks on VIX Futures
I am guessing the short answer to this question is "use the chain rule and linearity of the derivative," but I am looking for more specific advice on how to compute the derivatives of a VIX futures ...
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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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Can VIX be interpreted as a proxy for instantaneous volatility?
Bakshi et al., (2006) Estimation of continuous-time models with an application to equity volatility dynamics (Table 2) estimate the following Cox-Ingersoll-Ross model for market variance, $\sigma^2_t$:...
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Using linear regression on (lagged) returns of one stock to predict returns of another
Suppose I want to build a linear regression to see if returns of one stock can predict returns of another. For example, let's say I want to see if the VIX return on day X is predictive of the S&P ...
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Is the VIX more similar to a volatility swap or a variance swap?
I am reading the following paragraph on the VIX wikipedia article and I find it confusing:
The VIX is calculated as the square root of the par variance swap rate for a 30-day term[clarify] ...
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SPX options vs VIX futures trading
Forward volatility implied by SPX options, and that of VIX futures get out of line. If there existed VIX SQUARED futures they could easily be replicated (and arbitraged) with a strip of SPX options. ...
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What drives changes in implied volatility on ETFs/ETNs?
I thought implied volatility, as well as the VIX, primarily increase due to increases in the underlying asset's volatility, as well as the options themselves being bid up because more people were ...
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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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Construction of VIX and VVIX
I just read the CBOE's Whitepapers for VIX and VVIX and notice that they are constructed in the same way, i.e. a range of calls and puts on the respective underlyings (S&P500 in case of VIX, and ...
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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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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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What is the market standard for pricing VIX futures?
Pricing of VIX futures is complicated, because it is not possible to use a standard
hedging argument to get a value similar to stock futures.
What different approaches for pricing VIX futures exist? ...
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How to make sense of VXX and the people who bought it?
I don't quite understand how anyone would invest in VXX (asides from short-term trades)... Since the VIX term structure is generally in contango, the VXX is doomed to bleed to death.
Therefore, how ...
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VIX = Vega of S&P500 options?
ok, so let assume I can predict the daily change in the VIX itself (in points) every day. what would be the best way to play this with OPTIONS? well, obviously VIX options, but if I can look at the ...
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What are VIX back-month futures based on?
The VIX calculation is a weighted average of prices for front-month out-the-money options on the S&P index.
So for VIX futures, this makes sense for the front month vix futures (being based on a ...
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If VIX is the Implied Volatility of SPX, 30 days in the future, how many days into the future does VIX vol look?
Question: if VIX is the Implied Volatility of SPX, 30 days in the future, how many days into the future does VIX vol look? +60 or +30?
Lets see if I'm on the right track:
Premise 1: VIX is the ...
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When the Inverse Correlation between the SPX and VIX breaks down
As we all know the S&P and its implied vol, the VIX, generally move in opposite direction. To a large extent, the correlations makes sense. IV is one of the main drivers of the price of options, ...
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How did the SVXY ETF (-1x VIX) survive a 115% jump in VIX?
The SVXY ETF is a "-1x" short exposure to the VIX, rebalanced daily. Very importantly, it is an ETF, and not an ETN. As an ETF, its holdings are fully transparent and posted on the fund sponsor's ...
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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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How is implied volatility derived?
How to compute Implied Volatility Calculation?
The above link shows that there multiple ways to calculate implied volatility. My question is that for most of the common data sources like Bloomberg, ...
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Trading a synthetic replication of the VVIX (volatility of VIX)
In the same spirit as this question: Trading a synthetic replication of the VIX index.
The VVIX tracks the volatility of the VIX.
One cannot directly buy and sell the VVIX index and, as opposed to ...
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How do market makers hedge VIX index options?
With equity options, many market makers hedge by buying or selling the underlying asset in correspondence with the option's delta.
For example, if the market maker wrote 1 call option with a delta of ...
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Does Bakshi, Kapadia and Madan (2003) VIX building approach underestimate volatility?
From a paper that shortly addresses an alternative approach to VIX-like index building:
To test this approach, I've built a fake book of B&S options with constant volatility equal to $\sigma=20\%$...
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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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Pricing VIX Futures
In a 2006 paper Zhang and Zhu propose a model for VIX and VIX Futures based on Heston.
I am struggling in understanding how they get equation 6 and 8 (where they define the parameters).
Can anyone ...
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VIX options historical data
I'm looking at these data:
call and put options on VIX. I'm interested in daily quotes (all strikes and maturities) for - at least - 2009/10. Could you list link of possible sources? and possibily ...
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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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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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How to compute 30/60/90-day Implied Volatility?
I want to calculate the 30/60/90/180 day 100% moneyness implied volatility for a stock. I think I know how to do it but would like to share my thought processes with the group to verify I'm on the ...
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VIX future's lower and upper bounds
A Tale of Two Indices, by Carr and Wu (Jrl. of Derivatives, Spring 2006)
As per the above paper of Carr and Wu (page 24 and 25), the price of a VIX future has for lower bound the fair strike of a ...
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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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Replicating Log Contract - Errors Introduced by Jumps
In the GS Research Note about Volatility Swaps, it is shown that you can replicate a pure variance exposure (hedge) with only vanilla calls and puts, primarily thanks to the Carr-Madan formula of ...
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VXV vs. VIX futures: arbitrage opportunities?
At a first glance, VXV and VIX futures should not be compared at all: VXV is an underlying index, whilst VIX futures are derivatives written on a different underlying index, that is, VIX.
As instance,...
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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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Nested volatility
The introduction VIX options makes the concept of "volatility of volatility" a real life concept. The idea of "nested volatility" seems interesting, and I am wondering if there are any academic ...
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How was the old VIX calculated?
Today VIX is computed based on near- and next- term options series which fall into the time period of [23, 37] days. That is what it is now, when they use SPX weekly, so they have options expiring ...
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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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VIX intraday data
Where I can high-frequency intraday data on VIX? Is it available on Bloomberg Terminals? I see many questions posted on Quant.stackexechange about VIX options therefore I am sure someone knows where I ...
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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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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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VIX ETP Net Vega exposure
Does anyone know the calculation that these EQD desks are using to calculate the net Vega exposure of the VIX ETPs?
I am assuming it involves shares outstanding in each ETP, the value of a 30 day ...
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Modelling VIX Futures for risk management
I would like to model VIX futures. The aim is not pricing but risk management. Thus I want to get risk measures like volatility right and be able to accurately calculate correlations when the VIX ...
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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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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 ...
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