本帖最后由 aimei 于 2012-8-21 05:59 编辑
Putting the VIX in context
iPath S&P 500 VIX ST Futures ETN
RELATED QUOTES
Symbol Price Change
VXX 11.20
The volatility index rose yesterday but closed off the highs, while futures were mixed.
The VIX was up 0.57 or 4.24 percent to 14.02, amid a slight decline by the S&P 500. The weekend effect contributed to the rise as SPX options were repriced following two days without trading.
While many have commented on the low VIX, it must be viewed in comparison with real movements in share prices. Historical volatility has averaged a record low of 3.95 percent over the last 10 days. In that context, the VIX isn't low at all, but stands at a whopping 250 percent premium to the actual short-term vol.
The August VIX futures, with only one trading day until expiration, fell or 3 percent to 14.65 and closed much of the gap to the spot VIX. The soon to be front-month September VIX futures rose 0.05 to 18.25 -- a very large premium relative to the spot VIX. It is interesting to note that while option volumes have been light, and VIX futures volume is down slightly, open interest on the futures established three successive records at the end of last week.
More than 351,000 VIX options traded on Monday, with calls just slightly outpacing puts. The iPath S&P 500 VIX short-term futures note (VXX) saw volume of 176,000 contracts, evenly split between calls and puts. |
发表于 2012-8-21 05:37
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