prices tends to trade at a premium relative to subsequent realized volatility in the S&P 500 Index. Market participants have used VIX futures and options to capitalize on this general difference between expected (implied) and realized (actual) volatility, and other types of volatility arbitrage ...
prices tends to trade at a premium relative to subsequent realized volatility in the S&P 500 Index. Market participants have used VIX futures and options to capitalize on this general difference between expected (implied) and realized (actual) volatility, and other types of volatility arbitrage ...
What Are the VIX’s Current Volatility Predictions? What Is the VIX and How Does It Measure Volatility? In finance, the term VIX is short for the Chicago Board of Exchange’s Volatility Index. This index measures S&P 500 index options and is used as an overall benchmark for volatility in...
In this paper, using data for the USA and the German indexes, VIX and VDAX data in the period 2001-2012, we measure how accurate are the volatility predictions of each volatility index, considering different times to the nearest options maturity. The results show an equal 30 day-ahead ...
(Cboe: CBOE), the world's leading derivatives and securities exchange network, and S&P Dow Jones Indices (S&P DJI), the world's leading index provider, today announced plans to launch the Cboe S&P 500 Constituent Volatility Index (VIXEQ Index), calculated by Cboe Global Indic...
predictions of NVIX on market volatility. In less developed and efficient markets, uncertainty related to investor attentions would better test the Market Efficiency Hypothesis. We choose nine markets in Asia-Pacific area and find out the predictability of NVIX on the stock market volatility. ...
decomposing conditional variance into long-run and short-run components may not be successful in describing S&P 500 Index returns, volatility indices, and VIX futures prices. Lastly, we conduct trading strategies in the...
The position a trader begins from gets conditioned on their predictions about volatility levels. Investors that deiced to go long are the ones that predict the volatility is going to rise, and appropriately the VIX also will go up. When there are financial problems, and the market is experienc...
Volatility funds offer exposure to high "fear and greed" levels while avoiding predictions on price direction. Complex fund construction makes them best suited to short-term trading strategies in volatile conditions and long-term short-side strategies in benign and quiet conditions, including bull mark...
as the "investor fear gauge," because it reflects investors' best predictions of near-term market volatility, or risk. In general, VIX starts to rise during times of financial stress and lessens as investors become complacent. It is the market's best prediction of near-term market volatility....