New answers tagged

2

VIX almost always only spikes when SPX goes down as @Jan Stuller also mentions in a comment. Insofar the question is a bit counterfactual. I frequently use twin axis in the charts that follow. The position of the label corresponds to the axes the ticker belongs to. These are essentially two question in real world scenarios. 1 ) VIX and Vega: VIX up, IVOL up,...


4

Vega is the option's price sensitivity to the volatility (i.e. IV). In the graph below, vega is shown to be a strictly positive function in volatility, which means that at any point in the graph (i.e. for any value of IV, irrespective of whether the option is OTM, ATM or ITM), the option price: will increase in value if IV goes up (because Vega is positive) ...


1

Not that it will add much to the above, but I always kind of took this as given and did not think of it too much. Your question made me look into this a bit more. I assume you mainly talk about equity or indices here. So I did some searches and read some papers. Here is a summary of what I found (in an arguably short time period) but it largely confirms the ...


3

It really depends on the market you are interested in. Currently, almost every market has some peculiar shapes in the volatility smile driven by different dynamics or upcoming events. One famous example is the equity index market. If you have access to some current market data, just check the volatility curve for large indices like S&P 500 or EuroStoxx ...


Top 50 recent answers are included