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8

Put simply, VIX is a spot index (fair value to a variance swap on SPX of constant maturity) that you cannot own as a security. Market participants create futures for you to trade. Futures trade higher than the VIX -- if you long VIX futures, you lose when the futures contract converges to VIX. You therefore have a negative roll-down. VIX ETF doesn't avoid ...


5

The piece you are missing is an approximation via the Taylor formula of the logarithm: $$\ln(1+x) \approx x-\frac{x^2}{2} \; .$$ Apply this to the first term in the final formula of the technical paper: $$\frac{2}{T}\ln\frac{F_{0}}{S^{*}} = \frac{2}{T}\ln\left(1+\left(\frac{F_{0}}{S^{*}}-1\right)\right) \approx \frac{2}{T}\left(\left(\frac{F_{0}}{S^{*}}-1\...


4

Calculate the beta of the VIX Dec 18 contract to the SPY. Then apply this equation: $$\ hedge \ ratio = \frac{1000\beta}{SPY_{price} } $$ You then take the hedge ratio round it and that will give you the approximate amount of shares to hedge with. This is a simple solution. There are other ways to calculate the hedge ratio. Just as a note, this will ...


3

Just for future visitors of this post: You can also buy VIX option data directly from the exchange where they are traded, the Cboe: [https://datashop.cboe.com]


3

The VIX Index is computed from option prices on S&P Index. A VIX-like Index for other industries would first require to have a liquid option market.


2

Sometimes. Two extreme models are assuming: a) ATM vol stays constant for a given moneyness (called sticky moneyness) or b) vol stays constant at fixed strikes (called sticky moneyness). A variation on a) is sticky delta. It's also possible to come up with models that are sort of a weighted average of these two extremes. As Quantuple pointed out, work has ...


2

I assume you really mean the VIX and not the VIX future: Think about the BS model $dS = \sigma S dW$ for some constant vol $\sigma$. Does the current spot $S_0$ depend on $\sigma_0$? What does depend on $\sigma_t$ is of course the change in $S_t$, i.e. $dS_t$, and convex derivatives on $S$ such as a call option. Now replace $S$ by the variance swap strike (...


2

This indicator seems to be similar to William's Vix Fix which is also known as Synthetic Vix. On plotting the values of Vix Fix, the monthly chart of the S&P 500 looks similar to the chart given in the link shared by you. Formula: VIX Fix = (Highest (Close,22) – Low) / (Highest (Close,22)) * 100


1

It seems that you can only get access to it through paying the people that came up with it. I, for one, am not buying it and not linking to them either. I recommend you do the same.


1

In theory that would be possible. However, liquidity in industries could in some instances be substantially less than liquidity in the SPX thus making the hedging of volatility derivatives such as vol futures more difficult. Also, there may not be sufficient interest from investors to make the launching of industry/sector specific vol indices feasible.


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