Search Results
| Search type | Search syntax |
|---|---|
| Tags | [tag] |
| Exact | "words here" |
| Author |
user:1234 user:me (yours) |
| Score |
score:3 (3+) score:0 (none) |
| Answers |
answers:3 (3+) answers:0 (none) isaccepted:yes hasaccepted:no inquestion:1234 |
| Views | views:250 |
| Code | code:"if (foo != bar)" |
| Sections |
title:apples body:"apples oranges" |
| URL | url:"*.example.com" |
| Saves | in:saves |
| Status |
closed:yes duplicate:no migrated:no wiki:no |
| Types |
is:question is:answer |
| Exclude |
-[tag] -apples |
| For more details on advanced search visit our help page | |
Results tagged with vix
Search options not deleted
user 2668
The Chicago Board Options Exchange Market Volatility Index, a popular measure of the implied volatility of S&P 500 index options.
14
votes
2
answers
16k
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] initiated … This makes zero sense to me, since a volatility swap is precisely the square root of a variance swap which is what VIX is aiming to represent/estimate. …
- 489
11
votes
Accepted
Is the VIX more similar to a volatility swap or a variance swap?
The price/value of the VIX index is more akin to the strike/price of a variance swap expressed in vol units than to the strike/price of a vol swap. … However, if you are to trade a VIX future (i.e. a delta one contract on the VIX index), the exposure you gain is more comparable to the one of a vol swap in the following sense:
Consider a notional of …
- 489