SNSH

SNSH торгую биржевыми опционами long call / long put с 2005 года

CBOE Volatility Index, VIX
SNSH
snsh
Донат Автору http://www.donationalerts.ru/r/snsh

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.

"Интуитивное" понимание формулы VIX

Кирилл Ильинский: Построение ценовой модели опционов на акции, оценка качества модели, подбор параметров

Сравнение IV фондовых индексов:Collapse )


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