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CBOE Volatility Index, VIX - trriplex
May 2nd, 2012
09:21 pm

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CBOE Volatility Index, VIX
Оригинал взят у snsh в CBOE Volatility Index, VIX
В связи с популярность "Индекса волатильности VIX"

1. What is VIX?
The CBOE Volatility Index - more commonly referred to as "VIX" - is an up-to-the-minute market estimate of expected volatility that is calculated by using real-time S&P 500® Index (SPX) option bid/ask quotes. VIX uses nearby and second nearby options with at least 8 days left to expiration and then weights them to yield a constant, 30-day measure of the expected volatility of the S&P 500 Index.

2. How is VIX calculated?
VIX is calculated directly from the price quotations of nearby and second nearby S&P 500 Index options spanning a wide range of strike prices. The VIX calculation is independent of any theoretical pricing model, using a formula that averages the weighted prices of at-the-money and out-of-the money puts and calls to derive expected volatility. и далее

Обращаю внимание на выделеные жирным слова и рекомендую пройти по шагам файл http://www.cboe.com/micro/vix/vixwhite.pdf чтобы понять как он считается.


Сравнение IV фондовых индексов:

СШАSPXhttp://www.bloomberg.com/quote/VIX:IND
ВеликобританияFTSEhttp://www.bloomberg.com/quote/VFTSE:IND
ГерманияDAXhttp://www.bloomberg.com/quote/VDAX:IND
ФранцияCAChttp://www.bloomberg.com/quote/VCAC:IND
Юж.КореяKOSPIhttp://www.bloomberg.com/quote/VKOSPI:IND
ИндияNIFTYhttp://www.bloomberg.com/quote/INVIXN:IND
КитайALPHASHAREShttp://www.bloomberg.com/quote/ASCNCHIX:IND
ЯпонияNikkeihttp://www.bloomberg.com/quote/VNKY:IND
и далее...http://onlyvix.blogspot.com/p/volatility-indexes-and-etfs.html
РоссияRTS
http://www.bloomberg.com/quote/RTSVX:IND
http://www.rts.ru/ru/index/rtsvx
http://www.option.ru/analysis/option#volatility





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