Talk:VIX

message: I think a better example would be in order.  It's confusing where the calculations came from.  I'm going to try to figure it out myself and then change it. KevinPuj 00:46, 17 August 2006 (UTC)
replies: text: By all means, if there is something that can be better explained, please do so. Ronnotel 01:46, 17 August 2006 (UTC)

text: No actually, it's fine, it just didn't have the unit "months".  I fixed it. KevinPuj 22:22, 17 August 2006 (UTC)
thread_title: Example

message: An updated graph would be nice: An illustration of the development after Q3/2008 would be interesting, as we just see the start of the "financial crisis / recession".  —Preceding unsigned comment added by 79.160.222.90 (talk) 17:15, 2 September 2010 (UTC)
thread_title: Updated graph needed

message: Would someone like to add the equation for how the VIX is calculated/defined? —The preceding unsigned comment was added by 82.211.86.2 (talk) 15:29, 17 January 2007 (UTC)
replies: text: The exact calculation is a kernel-smoothed estimator and it's not easy to provide a meaningful summary without going into excessive detail. I considered adding it some time ago, but concluded that it would not enhance the article to do so. Please note that there is a reference to the exact methodology, which is available at the CBOE web site in pdf format. If there is a consensus view that the formula should be included, then I would recommend to be as sparing as possible (the derivation runs to multiple pages in the PDF). Ronnotel 15:45, 17 January 2007 (UTC)
replies: text: Any chance you could point us in the direction of this multiple page derivation?  I've had a look at the CBOE pdf cited, but can only find one showing the equation of the new VIX and this has no derivation at all, just an example and explanation of how to plug the numbers is.  I'd be very interested in a more mathematical reference for where the equation comes from and why it takes that exact form (which has rather counter intuitive behaviour IMHO). Cpdo 17:31, 29 January 2007 (UTC)
replies: text:  As with most anything of substance to do with volatility, it comes from Derman and his clique at Goldman. Take a look here. Free registration is required. Ronnotel 18:59, 29 January 2007 (UTC)
replies: text:  Why does the example on this (i.e. VIX) page scale from +10 to +40%, but the same graph on Yahoo Finance scale from -60 to +120%? 08:04, 21 October 2007 (UTC)
thread_title: Equation

message: I reverted two edits:
# The math asserted in the example is incorrect. The original answer of 4.3% change in 30 days is correct. Please see Volatility (finance).
# There is already a reference to the CBOE specification in the article.
Ronnotel 00:31, 27 August 2007 (UTC)
thread_title:  Revert edits by [[User:84.68.104.223]] 

message: The example on the VIX article states that if the VIX is at 15, the S&P has a 68% chance of moving up or down 4.33%.  That assumes the expected return is 0%, correct?  If the expected return were mu, then the S&P would have a 68% chance of ending at mu + / - 4.33% in one month, correct?
If you look at the "What is VIX?" section of http://www.cboe.com/micro/vix/VIXoptionsQRG.pdf it would appear that you are correct. --MichaelTurley (talk) 20:16, 21 March 2008 (UTC)
replies: text: If the expected return were nonzero, arbitrage would adjust the price until the expected return became zero.  --Doradus (talk) 15:43, 3 December 2008 (UTC)
replies: text: Sorry, my bad.  Clearly the expected return for the stock market must be higher than zero, or nobody would invest.  Not sure what I was thinking there.  --Doradus (talk) 07:17, 8 December 2008 (UTC)

text: I don't understand how 15% annual change can imply 4.33% monthly change.  1.0433*1.0433*...etc. 12 times = 1.0433^12 = 1.66306984, which is not a 15% gain.  It seems like it should be 1.15^(1/12)=1.0117, or a 1.17% monthly change. Superm401 - Talk 06:54, 7 October 2008 (UTC)
replies: text: Please remember that it's variance that scales linearly with time. Since volatility is the square root of variance, it scales with the square root of time. Here's an old option traders' trick. If the implied volatility of an option is 32% (per annum), then the market is expecting the underlier to move by 32/sqrt(252) = 32/16 = 2% per day (assuming 252 trading days per year) Ronnotel (talk) 11:36, 7 October 2008 (UTC)
replies: text: 16*16 is 256, not 252. Never mind that, it's close enough. I don't want to deny a math trick in use, but in reality it'll be reversed. The recent intraday volatility was about 2% on average in the past, so the implied volatility will be about 32%. There's no such thing as an implied volatility which predicts the future. Implied volatility is a complicated way to try to describe the past.    — Preceding unsigned comment added by 84.53.88.202 (talk) 04:30, 16 August 2012 (UTC)
thread_title:  Expected return 

message: Should we add history of the VIX?  Specifically, should we mention the VXO, which is the "old VIX"?  We could list differences between VIX and VXO, and the underlying formulae for each.  I don't know enough about it myself to write the content, though.  —Preceding unsigned comment added by Kreline (talk • contribs) 04:23, 30 September 2008 (UTC)
thread_title:  History 

message: (Thursday, October 9, 2008) Just saw a "Breaking News" headline on CNN.com saying that "Dow falls more than 600 points. Gauge of investor fear -- an index known as the Vix , hits an all-time high."  Perhaps someone could take this as an opportunity to update and re-plot the Vix history graph on the page? Dave (talk) 20:08, 9 October 2008 (UTC)
thread_title:  Update the graphic on the page? 

message: Professor Robert E. Whaley has been quoted online as writing that he "back figured" the VIX to see a level of around 180 just before the 1987 crash. 
If true, that suggests the 2008 levels seen to date are relatively less threatening than currently believed  —Preceding unsigned comment added by 66.167.61.107 (talk) 20:07, 16 October 2008 (UTC)
thread_title:  Professor Robert E. Whaley quoted ... 

message: * An excellent chart of five credit-availability and risk indicators, including the VIX, is available at htt ETC w3 ETC .nytimes.com/interactive/2008/10/08/business/economy/20081008-credit-chart-graphic.html  —Preceding unsigned comment added by Ocdcntx (talk • contribs) 13:43, 17 October 2008 (UTC)
thread_title:  Chart of 5 indicators, including VIX -- good external link 

message: * An excellent chart of five credit-availability and risk indicators, including the VIX, is available at htt ETC w3 ETC .nytimes.com/interactive/2008/10/08/business/economy/20081008-credit-chart-graphic.html Ocdcntx (talk) 13:48, 17 October 2008 (UTC)
thread_title:  Chart of 5 indicators, including VIX -- good external link 

message: I have temporarily reverted a series of edits by User:Elgas pending discussion. I'm afraid I don't understand the proposed edits, particularly the meaning of the phrase:
The expected (mean) movement in the Gaussian world is 0,8 times the VIX 
Can you please point a source with this information? I believe the correct description of the VIX comes from the CBOE as it was in text before your edit. Thanks. Ronnotel (talk) 20:53, 30 December 2008 (UTC)
thread_title:  Good faith edit by [[User:Elgas]] 

message: Who can compare the existing pricing model for VIX options?  —Preceding unsigned comment added by 64.94.157.1 (talk) 18:52, 20 March 2009 (UTC)
thread_title:  Pricing model for VIX Options 

message: can someone please update the graph, thanks  —Preceding unsigned comment added by 170.170.59.138 (talk) 22:46, 17 May 2009 (UTC)
thread_title:  graph mid 2009 update 

message: This article, at the end, seems to argue that bullish sentiment is as bullish for the VIX as bearish sentiment, only the volaitlity matters. That clearly isn't true. On sharp upward movement, the VIX almost always declines. 67.168.203.186 (talk) 02:15, 25 October 2009 (UTC)
thread_title:  VIX usually inversely correlated with S&P 

message: The article tells us more than we really want to know. And what we can understand, is confusing.  The VIX index should be considered in the context of 2 opposing POV's. If most everyone is bullish, the contrarian is bearish, and vice versa. Thus, high readings indicate volatility anxiety, panic even, which adventurous traders love, of course. Low readings indicate complacency, that the market is just about where it belongs. Your interpretation as to whether it means the market will go up or down depends upon your POV. You will be bearish or bullish on the same readings. Your trading decisions will likely be in the options market, whether to trade, or write. JohnClarknew (talk) 22:20, 2 November 2009 (UTC)
thread_title:  Article is confusing 

message: The section seems to be a rant by some particular individual, and the subject of the rant is not very relevant to the article anyway. No sources are cited. There had been a tag on the section for almost a year, asking for sources. Since there has been no improvement, I am deleting the section.  —Preceding unsigned comment added by Kotika98 (talk • contribs) 14:51, 18 November 2009 (UTC)
thread_title:  Criticism section for deletion 

message: I can read in the article: "Higher (or lower) volatility of the underlying security makes an option more (or less) valuable, since there is a greater (or smaller) probability that the option will expire in the money (i.e. with a market value above zero). So a higher option price implies greater volatility, other things being equal."
This is not true in general. ATM options are more expensive when volatility is high, but their probability to be in the money is the same, no matter what the vol is.
In fact when volatility is high, the expected payoff of the options is higher, not necessarily their probability to be in the money.
A possible explanation for the article could be: options can be seen as an insurance against a rise (call) or a fall (put) of their underlying. High volatility increases the probability of wide market moves, making such insurance more expensive to buy. As a consequence, options are more expensive when the implied volatility of their underlying is high.
But english is not my mother tongue...I would like someone to check the spelling first.
:Wrong, the probability is higher because implied volatility is based on the past. If the historical volatility is 2% a day instead of 0%, it's more likely that the option will be ITM.
If the strike is 12, exactly ATM, a neutral variation of the underlying value is about 11.76-12.24. If the volatility would be 0%, it'll always remain 12. The higher the volatility, the more likely it is that an option will be ITM, at least for a short while. But making money is less sure, because you'll be paying the seller of the option a premium of about 0.24.    
—Preceding unsigned comment added by 194.98.239.11 (talk) 09:57, 4 August 2010 (UTC)
thread_title:  Wrong explanation in the article 

message: Is this actually true?  A reference would be nice.  I know that a result like this holds for models with where the price is a continuous semimartingales, but we are not talking a model here.  I guess its also not entirely clear what statistically means here.  Is there really a static hedge that perfectly replicates a variance swap in all situations?  I also doubt that the VIX can be replicated via dynamic hedging.  This seems like another theoretical result that holds under specific model assumptions.  Update, I just went over the vix page on cboe, and the formula they present under "mathematical derivation" uses Ito's Lemma.  This means it depends upon the forward price being continuous.  As for as I can tell, this statement is clearly false without further assumptions.
—Preceding unsigned comment added by 72.179.49.120 (talk) 21:04, 15 October 2010 (UTC)
thread_title:  Can a variance swap really be perfectly statistically replicated using options? 

message: I have added an external link to a site where the development of the index is co-attributed to two Israeli scholars.http://www.stock-options-made-easy.com/volatility-index.html Seems to need future clarification in the body of the article, as done in the Hebrew version.RomanB2011 (talk) 23:32, 2 April 2011 (UTC)
thread_title:  Omission of a contribution by two Israeli scholars? 

message: IMHO, the issues of 
* scaling volatility 
and 
* converting between annualized returns and a change over 30 days 
both exist in the Interpretation section.  I am basing this upon this version, which was the current version when this ["Both issues exist"] subsection was added.  
OK, as for scaling volatility, I defer to the comment above (from Fw9322 and dated "04:17, 2 September 2011 (UTC)
thread_title:  Both issues exist 

message: There seems to be a general misunderstanding of what the volatility means in the interpretation section.
VIX by itself says very little about how much S&P 500 Index is likely to change over any period expressed in days or longer.
Vix measures prices of options and therefore measures expected instantaneous volatility (micro) of S&P 500 averaged over the next 30 days. To clarify: take minute by minute volatility of S&P and average that over 30 days.
The 30-day volatility as mentioned in the article does not care what happens throughout 30 days and only looks at the first and last level and it measures cumulative (macro) 30-day volatility.
The change in S&P 500 through 30-day period (macro) has something to do with VIX (micro) and they are somewhat correlated, but they are simply not the same thing.
In general, if volatility is constant and process is not mean reverting then 30 day average of instantaneous volatility is the same as 30 days volatility.
Aside from theoretical Gaussian process there are no real world financial variables, especially S&P 500 Index, satisfying those conditions.  — Preceding unsigned comment added by 146.127.253.13 (talk) 15:38, 25 October 2011 (UTC)
thread_title:  Interpretation 

message: Implied volatility is derived using the reverced option pricing formula specific to the certain model (in 99% time it's Black-Scholes). VIX is calculating an estimate of annualized expected intrgrated quadratic variation which is fundamentaly different approach.
The links to "Implied Volatility" article in the beggining of the VIX article are misleading, giving reader an impression that VIX is measuring BS implied volatility.  — Preceding unsigned comment added by 176.14.140.34 (talk) 07:07, 7 October 2015 (UTC)
thread_title:   Implied volatility vs VIX-measured volatility  

message: Should this article include information about VIX futures (traded on CFE)?  Or should there instead be a separate article specifically about the futures, with a link from this article?  I believe that a description of final day settlement, and references to studies on the divergence between VIX and the futures contracts prior to settlement would be useful to put out here somewhere.  2607:FCC8:B84F:7900:C466:5930:C707:F7F5 (talk) 12:54, 8 April 2020 (UTC)
thread_title:  Futures