not sure if we had a discussion on this. i thought there was a thread, but could have been another forum (yes, i cheat on this forum behind its back). anyway, are VIX futures based on the VIX index level at the time of the monthly settlement, or is it an averaged number (over a number of days), like i believe fed funds futures is? (could be wrong on fed funds futures). can someone tell me in a few words how VIX is calculated? just very conceptually. i assume it’s based on SPX options, but i’m not sure. have government and other parties been holding off on announcements in the last few days due to election coming up? thanks in advance!!
VIX futures contract info: http://cfe.cboe.com/Products/Spec_VIX.aspx FINAL SETTLEMENT VALUE: The final settlement value for VIX futures shall be a Special Opening Quotation (SOQ) of VIX calculated from the sequence of opening prices of the options used to calculate the index on the settlement date. The opening price for any series in which there is no trade shall be the average of that option’s bid price and ask price as determined at the opening of trading. The final settlement value will be rounded to the nearest $0.01. If the final settlement value is not available or the normal settlement procedure cannot be utilized due to a trading disruption or other unusual circumstance, the final settlement value will be determined in accordance with the rules and bylaws of The Options Clearing Corporation. Click here for more information about VIX futures settlement. DELIVERY: Settlement of VIX futures contracts will result in the delivery of a cash settlement amount on the business day immediately following the Final Settlement Date. The cash settlement amount on the Final Settlement Date shall be the final mark to market amount against the final settlement value of the VIX futures multiplied by $1000.00. VIX info: http://www.cboe.com/micro/vix/vixwhite.pdf Conceptually VIX is volatility of 30-day S&P options, used to be calculated using ATM options and now based on multiple strikes (not just ATM).
An idle mind will always take you to ‘VIX Analysis’. It’s the most noticable thing now in the markets. I was doing some research on it too, a week ago.
http://www.bloomberg.com/apps/data?pid=avimage&iid=ieLIbbh8g5qo Just a nice chart I thought would fit well here
dinesh.sundrani Wrote: ------------------------------------------------------- > An idle mind will always take you to ‘VIX > Analysis’. It’s the most noticable thing now in > the markets. I was doing some research on it too, > a week ago. my thought is that things have really calmed down alot… but is everyone/everything holding off until after the election?