22
Mar
10

VIX o no VIX

Daily Option Report tiene un post que resume la ultima pregunta sobre este indicador: ¿cual es su valor predictivo?

(…)

There’s some notion that the VIX today does some magical job predicting volatility of tomorrow. After all, it’s a measure of 30 day forward market prices for volatility. But at the end of the day, the VIX does a better job telling you what has just happened in realized volatility than it does in actually predicting what will happen over the next 30 days. Correlation is greater to the recent past than it is to the 30 day future it seeks to price. Now that makes perfect sense to me, I mean what else would you base options pricing on?

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