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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3answers
27 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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7answers
4k views

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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1answer
63 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 ...
8
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1answer
254 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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0answers
90 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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1answer
104 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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1answer
143 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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2answers
3k views

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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2answers
267 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 ...
8
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1answer
277 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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1answer
148 views

Risk, required return and expected volatility - what is the relationship?

Return required from risk averse agents from risky investments are proportional to expected return variance. That is from the textbook, you take the portfolio with the highest return to standard ...
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3answers
2k views

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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1answer
228 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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1answer
85 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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0answers
81 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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2answers
119 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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2answers
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Volatility Scaling

Since the VIX is an annualized volatility, to convert it into other frequencies we must divide by the square root of time. So to convert a VIX of 15 into daily volatility, we would need to divide $$ ...
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0answers
146 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 ...
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0answers
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 ...
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0answers
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 ...
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0answers
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, ...
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3answers
469 views

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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2answers
698 views

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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1answer
237 views

Manipulation of VIX

Having finished my reading on CBOE's method of calculating the VIX on out of the money call and put options written on S&P 500,I have a thought about the ability of market making firms to ...
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1answer
971 views

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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0answers
123 views

Research topic on volatility

Currently studying about volatility, VIX and implied volatility as well as option pricing via stochastic volatility models. My question is how these are used in real life except of speculation. Do ...
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1answer
143 views

Settlement of VIX derivatives

Currently reading the paper of John M. Griffin and Amin Shams "Manipulation in the VIX?". My questions has to do with settlement of VIX derivatives (options and futures on VIX). The paper states that ...
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0answers
46 views

Why hasn't SVXY recouped more of its lost value as vol has crashed in the past 2 weeks?

SVXY fell from around \$140 to \$9. It has since bounced back 25% to around \$12. Vix futures went from the 11-14 range to 35 and now back to 17-18. SVXY holds a short position in Vix futures with ...
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2answers
143 views

Nature of short VIX strategies

By now, we all pretty much know that the recent upsurge in the VIX Index caused the spectacular failure of some Exchange-Traded Products (ETPs) or Exchange-Traded Notes (ETNs) written on it. An ...
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0answers
145 views

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), $t$ ...
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1answer
108 views

Can any tell me how the VIX spike in Feb 2018, might have been caused my manipulation of $SPX options or VX Futures? [closed]

Looking for ways to back track evidence of manipulation in the trading or SPX options, ES Futures, or VX Futures to cause the spike that destroyed the vol ETFs (XIV, and SVXY), and caused small ...
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2answers
2k views

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 ...
2
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1answer
382 views

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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0answers
117 views

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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1answer
134 views

XIV Positive Roll Yield

I understand that VIX futures are usually in contango and so a portfolio that holds futures with a weighted average expiration of 30 days will "roll" down to equal the VIX index at maturity. This is ...
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1answer
396 views

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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0answers
327 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, ...
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1answer
180 views

Intuition Behind Scaling Factor in Variance Swaps

In More Than You Ever Wanted to Know About Volatility Swaps the fair value of a future variance swap can be replicated from market prices for calls and puts. The fair put and call strike is shown to ...
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2answers
299 views

Does the correlation between stocks in an index affect the implied volatility of the index? [closed]

Does the correlation between stocks in a sector or between sectors in the S&P 500 have an impact, all else equal, on the S&P's implied volatility / the VIX? My guess is that the correlation ...
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5answers
11k views

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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1answer
488 views

How is VIX different from SPY/SPX IV?

Maybe I should have read the CBOE whitepaper but I never did... Now I cannot find it. I was looking at SPY/SPX just a moment ago and noticed that spot VIX doesn't match with SPY or SPX IV. Why not? ...
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2answers
630 views

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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0answers
87 views

“At-the-money Implied as a Robust Approximation of the Volatility Swap Rate.” [closed]

Does anyone know where to get this paper? Carr, Peter and R. Lee, January 2004, "At-the-money Implied as a Robust Approximation of the Volatility Swap Rate." On google scholar the paper appears to ...
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0answers
78 views

using VIX to approximate BS IV for short term S&P ATM calls

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.
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1answer
660 views

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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1answer
917 views

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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2answers
275 views

why Implied Vol (VIX) increase with decrease in Stock Price or vice versa?

why Implied Vol (VIX) increase with decrease in Stock Price or vice versa? whereas Vega is positively related with change in option price to change in stock price.
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2answers
785 views

Pricing variance swaps using Monte Carlo

For pricing variance swaps there is the well-known formula as sum of OTM options weighted by the inverse of the squared strike (see e.g. here). Would it also be valid to derive the local-volatility ...
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2answers
1k views

GARCH models vs VIX

I am examining how investor sentiment affects the probability of stock market crises. I am using methodology similar to this paper https://ideas.repec.org/p/dij/wpfarg/1110304.html. VIX (equivalents) ...
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1answer
3k views

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 ...