[tech-spec] the VIX

  • From: "Brian J. Haag" <brian_haag@xxxxxxxxx>
  • To: tech-spec@xxxxxxxxxxxxx
  • Date: Mon, 4 Oct 2004 12:33:13 -0700 (PDT)

I'm not going to say don't use it.  But I'm going to
say that it's changed a LOT.

Forget the changes to the calculation.  Other than
having something to compare to the VXO for skew
purposes (very nice quick and dirty, Wiz), they're

But the nature of implied volatility has changed
dramatically in the last few years.  There is MUCH
MUCH more capital trading volatility of various
flavors, and things are very "correcly priced".  Ross
Miller pointed out some time ago on the spec list (and
this is brilliant I think) that the VIX is currently
above realizeds, and this premium can be referred to
as "terror event premium".  Further, the market
correcly prices skew these days ... it's very high to
historical most of the time now, but again, things are

Personally I think the VIX is extremely picked over
and is now relegated to the bin of "used to work".



Brian J. Haag

Other related posts:

  • » [tech-spec] the VIX