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Search options not deleted user 2357

The Chicago Board Options Exchange Market Volatility Index, a popular measure of the implied volatility of S&P 500 index options.

7 votes

Why does the VIX index have *any* correlation to the market?

The price of the VIX option is a weighted sum of put (strikes < forward) and call (strikes > forward) options on the S&P 500. The weights are proportional to 1/strike^2. …
Keith A. Lewis's user avatar