Posts Tagged ‘volatilidad implicita


Volatilidad a la VIX

A partir de hoy, la CBOE aplicara la metodología utilizada en el VIX a opciones de ciertas acciones (Apple, Amazon, IBM, Google, Goldman Sachs). Cortita y al pie, pero muy util.



Finanzas 101: VIX

No es el primer post que linkeamos explicando el VIX, pero creo tampoco sera el ultimo. En este caso, Credit Writedowns explica porque hay que estar checkeando el VIX de forma diaria.


So, as you can see, the VIX is much more valuable than the financial news ever explains. It’s not just a measure of volatility or fear. It is a moving prediction of the future. That’s why stock analysts get very afraid of a rising VIX. It’s a warning signal of things to come.



Paper: Volatilidad implícita y poder predictivo

Do Implied Volatilities Predict Stock Returns?

Using a complete sample of US equity options, we find a positive, highly significant relation between stock returns and lagged implied volatilities. The results are robust after controlling for a number of factors such as firm size, market value, analyst recommendations and different levels of implied volatility. Lagged historical volatility is – in contrast to the corresponding implied volatility – not relevant for stock returns. We find considerable time variation in the relation between lagged implied volatility and stock returns.

Link al Paper


Paper: Instrumentos de volatilidad como hedge

Using Volatility Instruments as Extreme Downside Hedges

“Long volatility” is thought to be an effective hedge against a long equity portfolio, especially during periods of extreme market volatility. This study examines using volatility futures and variance futures as extreme downside hedges, and compares their effectiveness against traditional “long volatility” hedging instruments such as out-of-the-money put options. Our results show that CBOE VIX and variance futures are more effective extreme downside hedges than out-of-the-money put options on the S&P 500 index, especially when reasonable actual and/or estimated costs of rolling contracts have taken into account. In particular, using 1-month rolling as well as 3-month rolling VIX futures presents a cost-effective choice as hedging instruments for extreme downside risk protection as well as for upside preservation.

Link al Paper


Hedgeate un black swan…

Risk.Net tiene un post donde introduce un nuevo desarrollo de CBOE: un instrumento que permite tomar posiciones frente a eventos de baja probabilidad (tail events).

“The skew index will offer the chance to take hedging or speculative positions on the skew of S&P 500 Index options, and consequently on the investors’ perception of forthcoming tail events such as extreme losses,” explained Shalen.

Skew reflects the fact that implied volatilities on options vary with strike levels, and is driven by supply and demand dynamics in the equity derivatives market. Historically, investors have purchased out-of-the-money puts to hedge their equity positions and sold out-of-the-money calls for premium. As a result, volatility for low strikes has increased, while volatility for high strikes has decreased.

If market participants expect a crisis, they would be more likely to buy put protection, which all things being equal would contribute to an increase in skew. Market participants could therefore take long positions in the index to hedge against future expectations of a tail event. Those who feel expectations of a crisis are overplayed could decide to short the index.

Shalen says the new product shows no correlation with market volatility, and any rise in the index is associated with the perception of correlated jumps in index stocks that occur during market crises.

En la nota se cita el siguiente paper de Peter Carr Towards a Theory of Volatility Trading (2002)


¿Manipular el VIX?

Adam Warner toma esta pregunta (referenciada principalmente a un posible objetivo del Gobierno Estadounidense) y la responde elegantemente en un post.

Want to know how you can “manipulate” the VIX?

You would have to do something radical like … buy some near-term puts on the S&P 500 (SPX). Yes, believe it or not, that’s basically all the VIX measures. It’s an index of volatility on SPX options normalized to 30 days duration.

The government, or an average-size hedge fund, could spend a few million dollars and pay up for some puts. It would lift implied volatility across the board for a short time, with the chance of the elevated volatility persisting if it caused a chain reaction.


Which brings up another point: It’s overwhelmingly likely that VIX broke above 30 thanks to a weak market. So what did the VIX tell you that you couldn’t infer anyway? The answer in this narrow case is nothing.

So, to answer the original question, there are a lot of things to worry about out there. The government buying or selling some SPX  puts to influence a volatility index is hardly one of them.


La mueca del VIX

Adam Warner tiene breve post sobre la mueca (skew) del VIX y la percepción de los cambios en el mismo (el VIX) desde el mercado de opciones.


The VIX uses a set formula based on the volatility of each qualifying SPX option. It normalizes to create a 30-day option, so it will incorporate the two nearest expiration cycles, up until the nearer one gets within eight days of expiration, at which time it leaves the calculation.


The next thing it does is weigh the options such that closer strikes carry more weight. And that’s where skew comes into play.


What I’m trying to say is that many of these VIX tweaks are simply mathematical. Skew is on the high side right now, so the effect is particularly pronounced at the moment. But for a guy simply trading SPX options and not caring about the VIX, he would not detect any change in volatility.

Fun & Finance


Fun & Finance Rollover

"It is hard to be finite upon an infinite subject, and all subjects are infinite." Herman Melville

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