This post discusses how the LONGVOL and SHORTVOL indexes work, but starts with some historical background that illuminates why these new indexes were needed. Two new leveraged volatility Exchange Traded Funds from Volatility Shares, -1X SVIX and 2X UVIX started trading on the 30th of March, 2022. SVIX and UVIX utilize two new Cboe indexes, the Short VIX Futures Index (ticker: SHORTVOL) and the …
The Cboe’s VIX®, VIX3Msm (93-day), and VIX6Msm (184-day) indexes enable us to quantify volatility term structures but until now, historical analyses between VIX style indexes have been limited to dates after December 2001 in the case of VIX3M and January 2008 for VIX6M. This post introduces the results of VIX6M style calculations back to 1990 and reviews issues and trends that were revealed. In November …
The Cboe’s VIX® (30-day) and VIX3M (93-day) indexes enable us to quantify volatility term structures but until now, historical analyses between VIX style indexes have been limited to dates after December 2001. This post introduces the results of VIX3M style calculations back to 1990, and reviews issues and trends that were revealed. In November 2007, the Cboe introduced VIX3M, a volatility index that uses the …
Sometimes an online option calculator isn’t enough and you’d like to implement the Black & Scholes (B&S) option pricing equations in Excel. If you’re just playing around it doesn’t matter how you structure the calculation. In fact, for clarity’s sake, it’s probably a good idea to spread out the calculation across multiple cells. However, if you’re planning to do some serious work with multiple B&S …
Hardly a month goes by without some pundit trumpeting that the VIX is broken. But before you worry too much, consider some of the non-obvious characteristics of the Cboe’s Fear Gauge. I often hear people in the finance industry saying that “The VIX® is broken”. The specifics of what they say varies a lot, but the typical pronouncements go something like this: These boil down …
