4
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Accepted
Can volatility spike without stock market correcting
Sure. Volatility is a measure of price movements in any direction, not necessarily levels. Actual volatility is measured by the magnitude of periodic changes of prices (how big the swings are). ...
- 142k
3
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Accepted
If the UVXY and SVXY ETFs both track the same VIX futures, why are they so different?
An inverse tracker does not necessarily have the inverted long-term return as an equivalent non-inverted tracker.
Let's take two tracker, N and I. N is a "normal" tracker and I is an inverse ...
- 142k
3
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To calculate the VIX are SPX calls and puts simply compared against the current price of the SPX?
The VIX index is basically the square root of the theoretical fair variance swap strike. This logic was chosen because the metric allows to incorporate skewness and kurtosis (convexity) of the vol ...
- 2,987
2
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Accepted
When using the VIX index, is it similar to calculating volatility?
The VIX is basically the option market's forecast of the volatility that will be realized in the S&P500 in the next 30 days. The index is calculated (simply said) as average implied volatility of ...
- 794
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How come none of the VIX ETFs track the index exactly?
The VIX is an index that is computed from the prices of assets (options) and the time (days to expiration), and is not itself the price of any asset or portfolio of assets. Thus, the VIX is not ...
- 30.3k
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What does it mean to long the convexity of options?
Think about having a positive view of a stock. You think it's undervalued but you're too smart to think that once you've opened up a position the market is suddenly going to understand where it was ...
2
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What does it mean to long the convexity of options?
Convexity is what gives options their L or elbow shape. Gamma is synonymous with convexity. Don't let this term scare you. Do you remember concave and convex in geometry? If a shape has curvature (...
- 297
1
vote
Accepted
VIX futures margin calculation
if you're going to be short VIX, you want some margin of safety, so that's why it's 25 and not 20
No, that means that the market thinks that the VIX will be at 25 in 60 days. It has nothing to do ...
- 142k
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To calculate the VIX are SPX calls and puts simply compared against the current price of the SPX?
Option prices encode expected volatility via a probability distribution of future SPX prices. The VIX is essentially a normalized standard deviation of that inferred distribution. Option prices don't ...
- 30.3k
1
vote
Accepted
Buy and hold VIX futures for guaranteed profit?
VIX futures track the VIX much better than ETFs or ETNs
This is incorrect -- the ETPs themselves track VIX futures. You may see more of a difference because you watch ETPs over a longer time, whereas ...
- 30.3k
1
vote
Accepted
How was the media able to identify that certain VIX put and calls were made by the same entity?
The volume in the legs involved in this combo will stand out like a sore thumb when you look at the option chain. Even if the spreads were put on piecemeal on different days, the magnitude of the ...
- 77k
1
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XIV Liquidation and VIX clearance
I don't know what transpired on the show "Billions" so I can't address their position or how they managed it. If you correctly described Axe's statement, it would be incorrect.
XIV is exchange-...
- 77k
1
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How to hedge volatility decreases
Hedging long delta and long vega?
Why not sell (or more precisely 'write') calls in the security in question?
e.g. AAPL Mar'29 165 Calls have a delta of 52% and an IV of 30%.
If the stock goes down ...
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What does it mean to long the convexity of options?
Let me give this a try:
1. WHAT IS CONVEXITY
The change can be explained in many ways mathematically, one way is the Taylor Series.
People who uses math in the Financial industry use the term Duration ...
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What does it mean to long the convexity of options?
I don’t like to revive an old post, but this came up in my search, so maybe this will help someone out someday.
Since the maths are very similar, one can use a physics problem as a metaphor. The ...
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