Dramatic increases in the VIX
or option prices are a function of dramatic price declines in the market," he said.
To understand that event, it helps to understand what the VIX
One answer is because the VIX
is a very efficient way -- in fact, one of the only ways -- to understand perceived market volatility at any given moment.
There is a consistent buying of more expensive and longer-dated VIX
futures and constant selling of cheaper shorter VIX
futures, because they ordinarily they post negative returns for longer periods of time.
Porem, encontram-se evidencias de que o VIX
passa a conter informacoes relevantes para a verdadeira volatilidade no periodo de crise, pelo menos para um curto horizonte de tempo, que nao sao captadas pelos outros modelos, fato nao presente no periodo sem crise.
The seasonality of India VIX
(herein after IVIX) has been assessed like day-of-the-week, month-of-the-year and options expiration effects.
was created by Robert Whaley, a Professor at Vanderbilt University.
Trading activity in VIX
futures also set new week-long volume records in consecutive weeks during the month as 2.
Uncertainty episodes during the recovery, while not as large as those of the financial crisis, are represented by large increases in the VIX
from lower levels.
VelocityShares Daily 2x VIX
Short-Term ETN (TVIX), the opposite of the ETNs listed above, was the absolute worst-performing fund over the past year, losing a staggering 94.
The low on the VIX
is not good news, however, with all due respect to economists.
Going forward, it is unknown whether volatility will remain low, spike or spike and remain elevated but volumes of the iPath S&P 500 VIX
Short-Term Futures Exchange Traded Note (ETN), the biggest of the VIX
Index 'trackers', are up 51% since March 9 and more than fourfold since December 30.