On the volatility of volatility

被引：9

作者：

Hsu, Stephen D. H. ^{[1
]}

Murray, Brian M. ^{[1
]}

机构：

[1] Univ Oregon, Inst Theoret Sci, Eugene, OR 97403 USA

来源：

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2007年 / 380卷

关键词：

D O I：

10.1016/j.physa.2007.02.041

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

The Chicago Board Options Exchange (CBOE) Volatility Index, VIX, is calculated based on prices of out-of-the-money put and call options on the S&P 500 index (SPX). Sometimes called the "investor fear gauge", the VIX is a measure of the implied volatility of the SPX, and is observed to be correlated with the 30-day realized volatility of the SPX. Changes in the VIX are observed to be negatively correlated with changes in the SPX. However, no significant correlation between changes in the VIX and changes in the 30-day realized volatility of the SPX are observed. We investigate whether this indicates a mispricing of options following large VIX moves, and examine the relation to excess returns from variance swaps. The sense in which the term "mispricing" is used is discussed in the paper. (c) 2007 Elsevier B.V. All rights reserved.

引用

页码：366 / 376

页数：11