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Tag Archives: Implied Volatility

The Disciplined Investor Podcast: Understanding VIX

Siddhartha Oberoi
Senior Director
S&P Dow Jones Indices
December 17 - 12:31 pm
Comments: 0

In a recent podcast with Andrew Horowitz from The Disciplined Investor, I discussed what the VIX is, how it is structured and common misconceptions about the index.  Click here to listen to the full podcast.

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The Relationship of the VIX Index and the Monthly Gross Premiums Generated by the BXM Index; Introducing the “Rule of 10”

Matt Moran
Vice President
CBOE
February 14 - 5:06 pm
Comments: 0

Some investors who are new to options have asked these questions: How can I determine how much premium will be generated by a covered call strategy? Is a high VIX level related to high option premiums? If VIX is at a high level, does that mean that a covered call strategy will perform well? Many [...]

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Exchange Traded Volatility Products in Europe

Berlinda Liu
Director
S&P Dow Jones Indices
January 19 - 12:38 pm
Comments: 0

In Europe, ETFs and ETNs linked to the S&P 500 VIX Futures Indices and the VSTOXX Futures Indices collectively have nearly $380 million in assets ), as listed in Exhibit 1 (note: volume is the average daily volume in December 2011). Exhibit 1: Exchange Traded Volatility Products in Europe (Dec. 2011) Compared with the S&P [...]

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Diversification Properties of VIX Futures Indices

Berlinda Liu
Director
S&P Dow Jones Indices
January 9 - 10:33 am
Comments: 2

As in the VIX index spot, the S&P 500 VIX Futures Index Series and the S&P 500 tend to move in opposite directions or.  As shown in Exhibit 1, while the correlation between the spot VIX and the futures index series is not perfect, it is a healthy 89% for the short-term index and 80% [...]

Posted in Education, Futures and Options, Performance, Research, VIX, Volatility | Also tagged , , , , , , , , , | 2 Comments

Volatility Benchmarks in Europe

Berlinda Liu
Director
S&P Dow Jones Indices
January 7 - 8:22 pm
Comments: 0

In Europe, regional volatility indices have been developed and published to measure the implied volatility in local markets. VSTOXX, VDAX-NEW, VFTSE follow the CBOE VIX methodology and have become the investor fear gauge in the Europe, German and UK markets. Exhibit 1 shows that these indices are highly correlated. Since Jan. 2000, VSTOXX have been [...]

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Contango and Roll Cost

Berlinda Liu
Director
S&P Dow Jones Indices
December 10 - 7:01 pm
Comments: 1

  Although VIX spot is generally mean reverting, the S&P 500 VIX Futures indices are return generating time series that trend down for the majority of their history. This downward trend is particularly obvious in the Short Term index. This is because the price received from the sale of the shorter term contract is generally less than [...]

Posted in Education, Futures and Options, Performance, Research, VIX | Also tagged , , , , , , , , | 1 Comment

VIX futures indices only track a fraction of VIX spot return

Berlinda Liu
Director
S&P Dow Jones Indices
November 2 - 10:33 am
Comments: 0

It has been widely observed that the S&P 500 VIX Short Term and Mid Term Futures indices track only a fraction of the VIX spot return. For example, on 8/8/2011, in response to the US Teasuries downgrade, the S&P 500 fell 6.88%, the biggest drop in 2011 (fingers crossed!). On the same day. VIX spot [...]

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