4 ms·
> I think the entire VIX formula should be restudied https://www.cboe.com/micro/vix/vixwhite.pdf https://www.cboe.com/micro/vix/vixwhite.pdf actual forumula i
by cat199 8y ago
> I think the entire VIX formula should be restudied
https://www.cboe.com/micro/vix/vixwhite.pdf https://www.cboe.com/micro/vix/vixwhite.pdf
actual forumula is time agnostic; VIX itself is an application of formula to particular inputs
> The VIX index and VIX futures and VIX futures options and VIX ETFs based on selections of VIX futures all rely on the trading activity of SPX options, and this formula doesnt have the same inputs anymore
from above link:
"In addition to the VIX Index, Cboe calculates several other broad market volatility indexes including the Cboe Short-
Term Volatility Index (VXST
SM
) - which reflects 9-day expected volatility of the S&P 500 Index, the Cboe S&P 500® 3-Month
Volatility Index (VXV
SM
) and the Cboe S&P 500® 6-Month Volatility Index (VXMT
SM
). Cboe also calculates the Nasdaq-100®
Volatility Index (VXN
SM
), Cboe DJIA® Volatility Index (VXD
SM
) and the Cboe Russell 2000® Volatility Index (RVX
SM
). Currently,
RVX futures are listed on CFE and RVX options trade on Cboe. "
but yes, agree, perhaps one should rely on the VIX number itself less readily..
- gammateam 8y agoMy point is that the inputs don't gauge market fear, and that should be restudied. Market fear is just the summation of spreads and implied volatility of the some of the index's options contracts, but if all the liquidity in any series has been diluted amongst having more series then you aren't going to get the same results or indication of market sentiment in the VIX number.