VIXstochastic volatilitystate-dependent jumpsvolatility jumpsinternal consistencySubstantial progress has been made in developing more realistic option pricing models for S&P 500 index (SPX) options. Empirically, however, it is not known whedoi:10.2139/ssrn.1106621Lin, YuehNeng...
The CBOE Volatility Index, or VIX, is an index that shows the stock market’s expected 30-day volatility. It is important to understand that the VIX allows investors to watch the volatility of the stock market easily.
The way VIX futures works means they are something of a double derivative. The VIX futures derive their value from the level of movement of the market for S&P 500 stock index options, which themselves derive their value from the movement of the stocks covered by the S&P 500. This double de...
The VIX’s calculation is based on the prices of S&P 500 options. Options can be seen to represent an investor’s estimate of where the S&P 500 will be in the near future. Call options (or calls) are expectations that the index will rise, while put options (or puts) expect that it ...
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Explore the Cboe Volatility Index®, or VIX®, traders use to measure volatility and make trading decisions. This video is part of our Trading Options course.
The fact that the VIX represents forward-looking or historical volatility is important, as it is based on how much investors are willing to pay for the right to buy or sell a stock (call or put options). The premium for an option can be used to represent the perceived level of risk in...
VIX, corporate bond spread, currency carry trade, stock index level? Why? What are the common trading strategies used by institutions and hedge funds for trading index options? What are the prices of a call option and a put option with the following ...
The VIX is susceptible to a pattern of slow decline and rapid increase. As such VIX call options, when well-timed can be a very effective hedge; however, VIX put options are more difficult to use effectively. The put options can be profitable for traders who correctly anticipate that a mar...
Downside riskcan be adequately hedged by buying put options, the price of which depends on market volatility. Astute investors tend to buy options when the VIX is relatively low and put premiums are cheap. Such protective puts will generally get expensive when the market is sliding; therefore, ...