A while back I developed a consolidated spreadsheet to organize historic VIX futures data from the CBOE into a single spreadsheet. Using this spreadsheet I calculate the short (SPVXSTR) and medium term (SPVXMTR) rolling indexes that underlie the various volatility Exchange Traded Products (ETP) like VXX, UVXY, XIV, and ZIV The image below shows a small sample comparing my calculations (M1-M2 Short Term Rolling Index) with the official …
One of the options strategies Jeffery Augen discusses in his excellent book, “The Volatility Edge in Options Trading” takes advantage of the typical ramp up in option’s implied volatility (IV) before an earnings announcements. Upcoming announcements create uncertainty, and the option market prices that in by increasing the premiums—which is reflected in the IV of the options. This ramp up in IV can be surprisingly …
For my 2015 year end prediction for the S&P 500 see this page. Update: In the post below I wonder how long the close correlation between the S&P 500 and its prices six years previous will continue. December 31, 2014 provided the answer: 5 years—the correlation failed in 2014 with an ending difference of 25.9%. No half measures here. This sort of pattern …
Using the Cboe’s VIX futures historic data and interpolations/extrapolations for contracts that were not traded I developed a continuous time series for 7 months of VIX futures settlement values. I then used that data, plus treasury bill data to compute the indexes that underly the popular long and short volatility Exchange Traded Products (ETPs) in the USA. This product includes two spreadsheets, one that …
Why is mid or medium-term volatility defined as being 4 to 7 months out? In January 2009 Barclays introduced VXZ, the first medium-term volatility Exchange Traded Product (ETP). Its tracking index (SPVXMP) relies on 4 to 7-month VIX futures. I suspect that range was selected because historically (2004 through 2008) the term structure on the 4th through 7th-month VIX futures was relatively flat but still tracked …
