VIX

joy39217

The VIX explained:

Few really know what the Volatility Index is or how it is calculated.  Here's a brief explanation ...

The Volatility Index (or VIX) is a weighted measure of the implied volatility for real time $SPX put and call options. The puts and calls are weighted according to time remaining and the degree to which they are in or out of the money.  From this is created a hypothetical at-the-money option with a 30 day expiration time period.  In this way, they are trying to set a value that is equal to the equivalent value of the $SPX's current price.  (When a stock's option strike price is "at the money", it is theoretically the same as the price the stock is trading for at that moment.)

So what does that mean?  It means that the VIX really represents the "implied volatility" for the hypothetical $SPX put/call options on an "at the money" option value.

Still confused?

It all has to do with perceived risks.  The greater the perceived risks that are in stocks, the higher the "implied volatility".  Implied volatility is about the perceived risk in the stock market at a given point in time, and NOT about the size of price swings in the market.

In layman's terms ... how does this work?

It is actually quite simple.  When the stock market falls, there is an increased demand for put options.  Increased demand for puts means higher put prices and that generates higher implied volatilities. (Lower demand for puts means lower put prices and that generates lower implied volatilities.)

What else do you need to know?

Only that the VIX moves in an inverse relationship to the stock market.  When the VIX moves up, the market moves down.  When the VIX moves down, the market moves up.

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What will the VIX need to show for a Bear Market rally to start and hold?  

The answer is that we will need a trend reversal to happen on the VIX ... in other words, when it starts to make lower/highs and lower/lows.  Until then, don't try to catch a falling knife.

 

CoolMax

没有说清楚，

为什么跌的时候，大家买Put，所以VIX涨，

那么：

为什么涨的时候，没有人买Call。

 

[ 本帖最后由 CoolMax 于 2008-12-3 00:47 编辑 ]

soulvirus

catbaby

Thanks!

lite1067

VIX's new formula is quite complicated.


in a nutshell, just need to remember VIX is fear factor and measures the IV of 30days options on S&P500 (incl options on futures and ETF) with more bias on puts. :-)

CoolMax

原帖由 lite1067 于 2008-12-3 12:59 AM 发表 VIX's new formula is quite complicated. in a nutshell, just need to remember VIX is fear factor and measures the IV of 30days options on S&P500 (incl options on futures and ETF) with more bias on p ...

MM要操作VIX也很容易，在Deep OTM放几个一分钱的Bid就行了。

你卖了也不赚钱，还不够Cover手续费呢。

lite1067

原帖由 CoolMax 于 2008-12-3 01:15 发表 MM要操作VIX也很容易，在Deep OTM放几个一分钱的Bid就行了。 你卖了也不赚钱，还不够Cover手续费呢。

Deep OTM's weight is very small... ATM's largest.

CoolMax

原帖由 lite1067 于 2008-12-3 01:21 AM 发表 Deep OTM's weight is very small... ATM's largest.

 

现在VIX挺住30上面这么久，很邪门的。

股海无涯