Submit a Story!
Votes
topics:

vote down flag
vixandmore.blogspot.com - 4/7/2009
Calculating the Implied Volatility of the VIX
—
Earlier today, a reader had an excellent observation and question regarding the implied volatility of the VIX: “I noticed that the IV for ATM July options is 50 while the VIX itself is 42 right now. That seems crazy to me since the IV for the VIX is a second derivative and should be much more ...
VIX High or Low? It Depends…
vixandmore.blogspot.com - 4/13/2009
VIX High or Low? It Depends…
— vixandmore.blogspot.com — The question of whether the VIX, which closed at 36.53 on Thursday, is high or low, depends... a great deal upon the historical backdrop one uses to make the comparison. In the chart below, I have represented 36.53 as a percentile based upon prior VIX ... (more) VIX High or Low? It Depends…

Comments vote down THE SHARK REPORT found this 4/13/2009found this
The Persistence of Volatility
vixandmore.blogspot.com - 4/10/2009
The Persistence of Volatility
— vixandmore.blogspot.com — I have often thought that Salvador Dali’s The Persistence of Memory , with its famous melting clocks,... should be the official painting of all options traders, for if there is anything that distorts time, it is the wild permutations of the positions ... (more) The Persistence of Volatility

Comments vote down Abnormal Returns found this 4/10/2009found this
Credit Suisse Fear Barometer Rolls Out This Week
online.barrons.com - 4/13/2009
Credit Suisse Fear Barometer Rolls Out This Week
— online.barrons.com — THE SCENE: A midtown Manhattan restaurant. Two old friends meet for lunch to discuss market events. Barron's:... It must be hard having your efficacy questioned, especially as you haven't been behaving as expected lately. VIX, the famed volatility index: ... (more) Credit Suisse Fear Barometer Rolls Out This Week

Comments vote down Abnormal Returns found this 4/13/2009found this

Blog Reactions

Daily Options Report:  As The VIX Options Churn

Comments
Blog Reactions

As The VIX Options Churn
Daily Options Report — Bill from VIX and More with this last Thursday. Earlier today, a reader had an excellent observation and question regarding the implied volatility of the VIX: “I noticed that the IV for ATM July options is 50 while the VIX itself is 42 right now. That seems crazy to me since the IV for the VIX is a second derivative and should be much more than the VIX itself…” The problem with most data sources is that they assume the cash/spot VIX is the underlying for VIX options, instead of ...

Related: implied volatility vix
NetApp option implied volatility jumps as call demand surfaces
philstockworld.com 4/8/2009 — Today’s tickers: NTAP, AXP, MOS, SEPR, GM, JNPR, ROK, VIX, TGT & TCK NTAP NetApp, Inc. – Option implied volatility has skyrocketed from yesterday’s value of 56% to the current reading of 74% as merger fever has set its sights on the company. Shares have jumped more ...
VIX Rolling Over — Toro's Running of the Bulls Market Blog
The Volatility Index, aka the VIX, is rolling over.  If the VIX were a stock, it would be a sell. The VIX is a measure of implied volatility.  Generally, the higher the VIX, the more fear there is in the market, and the lower the VIX, the less fear.  A falling VIX can ...
VIX and Options: The Underlying Problem — Minyanville
Earlier yesterday a reader had an excellent observation and question regarding the implied volatility of the VIX: “I noticed that the IV for ATM July options is 50 while the VIX itself is 42 right now. That seems crazy to me since the IV for the VIX is a second derivative and should be ...
Calculating The Implied Volatility Of The VIX — Daily Markets
Earlier today, a reader had an excellent observation and question regarding the implied volatility of the VIX ( ^VIX ): I noticed that the IV for ATM July options is 50 while the VIX itself is 42 right now. That seems crazy to me since the IV for the VIX is a second derivative and should be ...