Calculating a VIX6M Style Index back to 1990 Reveals Some Volatility Trends

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 …

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Calculating a VIX3M Style Index Back to 1990 Reveals Surprising Trends

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 …

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Black & Scholes for Puts/Calls in a Single Excel Cell

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 …

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No, the VIX is Not Broken

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: The Cboe’s VIX …

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Deciding What to do Next

Years ago I had a meeting with my manager regarding three projects that I was responsible for. Each of the projects had considerable technical problems, tight deadlines, and were short on resources. In the course of the conversation, I asked my boss what his priorities were on the projects. He said all three projects had number one priority. Aargh… Absent useful guidance from others, how …

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