Ко всему треду выше.
Набивать лень, вставил чужое:
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"Just a quick refresher for those who posted the question as to how VIX is calculated.Vix is drawn from 8 options. The front month puts and calls bracketing the current cash value of the OEX and the same second month options. The front month is dropped on Monday of expiration week and the "third" and second month then make up the VIX.
They are weighed so as to achieve an exactly ATM..exactly 30 day value.
So if the OEX were 567.28 you would , in theory, be calculating a 30 day 567.28 option. Not a put or a call, but rather a benchmark of the options marketplace as measured by the OEX.
It now calculates 15 minutes after opening..it used to be 30 minutes. So for the first 15 minutes it appears unchanged. It calculates real-time after that. VIX was created by Prof. Bob Whaley at the Duke grad school."
"Implied vol. .. as defined in the B/S option pricing model ....... is NOT a measure of price change as many assume, but rather a measure of the cost of Delta hedging."
"About 70% of the trading in the OEX is non directional market maker to market maker. If the public is buying puts..the floor is shorting futures and buying calls. You have to be real cautious about how you use p/c data in a world where the lions share of trading is hedge related."
"40,000 of the calls was as a result of a spread trade from a single customer 16,000 X 16,000 X 8,000. It was not a directional trade."
"Remember also that between 80% - 90% of institutional option activity is upstairs - especially true in S & P 500 options - so that what prints on the floor is not a full representation and could in fact be really skewed by a large upstairs trader using the floor to layoff a position."
- The DOCTOR (officer of CBOE)
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Способов использования VIX довольно много.
Некоторые можно посмотреть здесь:
http://uranus.spaceports.com/~alexkash//docs/trdhrd1week.zip
http://uranus.spaceports.com/~alexkash//docs/trdhrd2week.zip
Сигнальные уровни на VIX меняются со временем.
Смысл считать аналог vix по 1 тикеру и сравнивать с волатильностью тикера есть и большой (видел на примере oex), но представляется весьма трудоемким.
Как ни странно тренды на VIX есть и используются.
mavery