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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3
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1answer
53 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
3
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1answer
80 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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0answers
23 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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2answers
4k 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
85 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
80 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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1answer
124 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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1answer
51 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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0answers
47 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
190 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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0answers
50 views

Realized Volatility of Volatility versus VVIX Index

Hello people of the internet I am doing a little experiment where I want to examine how well the VIX predicts the realized volatility, and how well the VVIX (Volatility of VIX Index) predicts the ...
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1answer
68 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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0answers
40 views

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
106 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; ...
3
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0answers
82 views

Motivation for hedging volatility using VIX ETNs

I wondered what the motivation for professional investors could be to trade in VIX ETNs. Why would they even think about trading this kind of product? (They normally should have access to VIX options,...
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2answers
94 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
79 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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0answers
38 views

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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3answers
5k views

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 ...
4
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2answers
206 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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2answers
135 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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4answers
2k views

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 ...
2
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1answer
125 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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0answers
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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 ...
4
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1answer
169 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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0answers
66 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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3answers
633 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 ...
4
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1answer
196 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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1answer
324 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
268 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
4
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1answer
188 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
366 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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1answer
613 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 ...
2
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1answer
161 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
430 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
106 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
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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2answers
165 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
1k views

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
176 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
151 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
130 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
124 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
495 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
1k 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 ...
2
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1answer
265 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
1k 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
159 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 ...