tag:blogger.com,1999:blog-897456774486153841.post5181792337863311837..comments2024-03-18T03:31:52.739-07:00Comments on VIX and More: Ten Things Everyone Should Know About the VIXBill Lubyhttp://www.blogger.com/profile/01241003017364820134noreply@blogger.comBlogger18125tag:blogger.com,1999:blog-897456774486153841.post-34968097506614381652009-09-11T11:53:38.106-07:002009-09-11T11:53:38.106-07:00Hi Tom,
The only Canadian volatility index I am a...Hi Tom,<br /><br />The only Canadian volatility index I am aware of is the MVX, which is calculated from current prices of nearby at-the-money options on the iShares of the CDN S&P/TSX 60 Fund (XIU) that are traded on the Montreal Exchange. <br /><br />I don't know how much Canadian investors follow MVX, but I'd love to hear more from any readers in the know.<br /><br />Cheers,<br /><br />-BillBill Lubyhttps://www.blogger.com/profile/01241003017364820134noreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-51412290017994838852009-09-11T10:10:22.089-07:002009-09-11T10:10:22.089-07:00Great thread! Is there a volatility measure for t...Great thread! Is there a volatility measure for the S&P/TSX index in Canada?Tom E.noreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-12476784217605378142008-09-23T11:52:00.000-07:002008-09-23T11:52:00.000-07:00Hi John,You may wish to check out an article by La...Hi John,<BR/><BR/>You may wish to check out an article by Larry Williams from the Dec 2007 issue of Active Trader: <A HREF="http://store.activetradermag.com/index.asp?PageAction=VIEWPROD&ProdID=4978" REL="nofollow">The VIX Fix</A><BR/><BR/>Cheers and good trading,<BR/><BR/>-BillBill Lubyhttps://www.blogger.com/profile/01241003017364820134noreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-47003171759922962762008-09-22T11:21:00.000-07:002008-09-22T11:21:00.000-07:00Dear Bill,I have a question related to trading the...Dear Bill,<BR/><BR/>I have a question related to trading the VIX. How come the futures prices differ from the spot? <BR/><BR/>Even though it's not possible to trade the VIX spot, could one not construct a syntetic VIX spot from delta hedged options? If so, wouldn't there be possibilites of arbitrage against the futures?<BR/><BR/>Great blog by the way!Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-42576328808817759472008-08-15T08:13:00.000-07:002008-08-15T08:13:00.000-07:00Hi Len,My current read on the VIX and other volati...Hi Len,<BR/><BR/>My current read on the VIX and other volatility indices is only slightly bearish -- not enough compel me to put on significant short positions.<BR/><BR/>For the moment at least, I'd like to see how much the dollar rallies and whether oil heads back down to new lows before making a decision about shorting particular sectors.<BR/><BR/>Good trading,<BR/><BR/>-BillBill Lubyhttps://www.blogger.com/profile/01241003017364820134noreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-80224973946246968182008-08-15T08:06:00.000-07:002008-08-15T08:06:00.000-07:00With the VIX in the teens, do you believe it is ti...With the VIX in the teens, do you believe it is time to short the overall markets? If so, any particular sectors that you find attractive on the short side?Len Montehttps://www.blogger.com/profile/04110641552591206208noreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-75623250986197840992008-05-22T06:45:00.000-07:002008-05-22T06:45:00.000-07:00Hi Nick,Good questions about the SOQ. I can think...Hi Nick,<BR/><BR/>Good questions about the SOQ. I can think of only two factors off of the top of my head that should have the biggest impact on the VIX SOQ.<BR/><BR/>The first, of course, is the potential for market moving news before the open. This is associated with any overnight holding and is not specific to the VIX.<BR/><BR/>The second factor is that the VIX SOQ uses traded prices instead of the midpoint of the bid-ask spread. Quoting the CBOE, <I>"...the VIX SOQ is the only VIX calculation that uses traded prices. Every other reported VIX value uses mid-quote prices of SPX option series. Typically, the theoretical VIX bid/ask spread (i.e., the difference between VIX calculated using bid prices and VIX calculated using ask prices) is <B>0.8 to 1.2 VIX points</B>. If the VIX SOQ is calculated using predominantly bid prices, or predominantly ask prices, there may be a significant difference between the exercise settlement value for VIX options and the reported VIX values (based on mid-quote prices) on expiration day as well as at the close on the day before expiration.</I>" [emphasis is added]<BR/><BR/>So...if there is significant overnight news, not only will the VIX move, but if trades start hitting all the bids or all the asks as a result, you could see an extra point or more move in the VIX.<BR/><BR/>I hope this helps.<BR/><BR/>Cheers,<BR/><BR/>-BillBill Lubyhttps://www.blogger.com/profile/01241003017364820134noreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-90171143960359379352008-05-20T17:38:00.000-07:002008-05-20T17:38:00.000-07:00Bill, I sell short strangles on the VIX in the las...Bill, I sell short strangles on the VIX in the last 10-15 mins of the last trading day. I have done quite well with this strategy...until April when the VIX SOQ was a lot lower than the VIX closing price on the last day of trading. Which brings me to my question: can you explain the overnight risk of holding VIX short? What can happen overnight that causes the VIX SOQ to move? And is some of the problem that the SOQ is calculated differently than the $VIX index which we use when trading the options?Nick H.https://www.blogger.com/profile/17684773365224807421noreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-2304975505510728762008-05-05T06:40:00.000-07:002008-05-05T06:40:00.000-07:00Ryan,Timing the next spike always seems to be the ...Ryan,<BR/><BR/>Timing the next spike always seems to be the hardest part. If things get ugly, I don't think you will have to wait for another earnings cycle to see it reflected in stock prices. I suspect another 1-2 months will tell us what sort of headwinds the markets are fighting.<BR/><BR/><BR/>Eugenio,<BR/><BR/>For currency volatility, JPMorgan has a VXY volatility index for the G7 currencies and a EM-VXY index for emerging market currency volatility. <BR/><BR/>I don't have Bloomberg, but I understand that the two indices are priced continuously and intra-day updates are reported on Bloomberg with tickers of JPMVXYG7 and JPMVXYEM.Bill Lubyhttps://www.blogger.com/profile/01241003017364820134noreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-35517579018782787942008-05-05T06:16:00.000-07:002008-05-05T06:16:00.000-07:00Hi Bill,do you know where can i find those volatil...Hi Bill,<BR/><BR/>do you know where can i find those volatility indices for currencies that you mention? tried everywhere but cannot find them.<BR/>hey, really thank you for this interesting blog. <BR/><BR/>ciao<BR/>EugenioAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-1947998157576255542008-05-05T05:16:00.000-07:002008-05-05T05:16:00.000-07:00Ryan...the problem with betting on a poor Q2 earni...Ryan...the problem with betting on a poor Q2 earnings report to boost the VIX is that a poor Q1 earnings report did not boost it. The market seems to be taking poor earnings in stride for the time being. I think the VIX low the last few years is somewhere around 12 so there is still considerable downside.TJFhttps://www.blogger.com/profile/04713228407453146520noreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-19200198439321142702008-05-04T21:55:00.000-07:002008-05-04T21:55:00.000-07:00Hi Bill,I'm of the opinion that the VIX is signali...Hi Bill,<BR/><BR/>I'm of the opinion that the VIX is signaling extreme complacency, but not exactly sure about the best way to put this view into action.<BR/><BR/>Does buying September or November calls make sense if we think that poor Q2 earnings will get the bears rolling again?<BR/><BR/>I guess I'm saying that I really like going long volatility but unsure of the timeframe or most reasonable way..<BR/><BR/>Thanks,<BR/>RyanRyanhttps://www.blogger.com/profile/07550320895938544677noreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-40664676638939085952008-05-02T07:47:00.000-07:002008-05-02T07:47:00.000-07:00Getting the timing right on the next VIX spike can...Getting the timing right on the next VIX spike can be frustrating. Frankly, I'm surprised that the VWSI (VIX Weekly Sentiment Indicator) only closed at +1 yesterday and is at just +2 today -- suggesting a fairly neutral outlook on volatility over the next 1-2 weeks.<BR/><BR/>This may be an case where it pays to wait until there is evidence of some topping action, then buying some options with the expectation that the counter trend will be sharper than most suspect.<BR/><BR/>FWIW, I have no position in the VIX at the moment.<BR/><BR/>Cheers,<BR/><BR/>-BillBill Lubyhttps://www.blogger.com/profile/01241003017364820134noreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-9583052125998395872008-05-02T07:27:00.000-07:002008-05-02T07:27:00.000-07:00Good thing I didn't buy VIX calls...now at 18.49 b...Good thing I didn't buy VIX calls...now at 18.49 but of course they trade kind of funny.TJFhttps://www.blogger.com/profile/04713228407453146520noreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-66648934410211608062008-04-29T13:23:00.000-07:002008-04-29T13:23:00.000-07:00James,I am not aware of any volatility index for t...James,<BR/><BR/>I am not aware of any volatility index for the FTSE 100, though I must confess that I have limited familiarity with the European markets.<BR/><BR/>For what it is worth, I have seen several studies that have looked at historical volatility for the FTSE 100.<BR/><BR/>Readers, feel free to chime in with the definitive word on this.<BR/><BR/>Cheers,<BR/><BR/>-BillBill Lubyhttps://www.blogger.com/profile/01241003017364820134noreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-50760713353870505942008-04-29T13:06:00.000-07:002008-04-29T13:06:00.000-07:00billis there any volatility measure for the FTSE 1...bill<BR/><BR/>is there any volatility measure for the FTSE 100 Index in the UK?<BR/><BR/>Cheers<BR/>JamesAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-17218856979716597102008-04-29T12:38:00.000-07:002008-04-29T12:38:00.000-07:00Hi Eric,You can make a case to wait until after th...Hi Eric,<BR/><BR/>You can make a case to wait until after the Fed announcement, but I think long volatility looks like a good play right now.<BR/><BR/>Cheers and good trading,<BR/><BR/>-BillBill Lubyhttps://www.blogger.com/profile/01241003017364820134noreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-62819981651934289922008-04-29T12:30:00.000-07:002008-04-29T12:30:00.000-07:00VIX is at a four month low here at 20. Might be a...VIX is at a four month low here at 20. Might be a good time to buy VIX calls?TJFhttps://www.blogger.com/profile/04713228407453146520noreply@blogger.com