Vix mark

noddyboy said:
Still seeing it as low.
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Again, I am not sure what you are calculating. You should be seeing a value around 3.25. Mid term (say 1 year), it's around 50th percentile (average has been 3.42 last year), long term it's pretty rich (expand your graph for the last 5-7 years to put things in perspective).

Try this (since you have a Bloomberg) in CIX:
(SPX 3M 90 VOL Index - SPX 3M 100 VOL Index) * 0.5

PS. Oh, I see - you are using 110 call strike. Yeah, that's not going to be very useful since at these levels of vol there will be a call skew there actually - lowest strike is 105%ish

PPS. That SKEW index that you showed before is interesting - I guess the intention was to make a non-parametric strikeless representation of skew similar to VIX, but it's might counter-intuitive in it's dynamics
 
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sle said:
Again, I am not sure what you are calculating. You should be seeing a value around 3.25. Mid term (say 1 year), it's around 50th percentile (average has been 3.42 last year), long term it's pretty rich (expand your graph for the last 5-7 years to put things in perspective).

Try this (since you have a Bloomberg) in CIX:
(SPX 3M 90 VOL Index - SPX 3M 100 VOL Index) * 0.5

PS. Oh, I see - you are using 110 call strike. Yeah, that's not going to be very useful since at these levels of vol there will be a call skew there actually - lowest strike is 105%ish

PPS. That SKEW index that you showed before is interesting - I guess the intention was to make a non-parametric strikeless representation of skew similar to VIX, but it's might counter-intuitive in it's dynamics
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I used your formula. I think we are seeing the same thing from different angles. SKEW has risen over the years. My point is that the recent meltup YTD has brought SKEW lower, and so it is not due to OTM puts but rather OTM call buying.
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Yes, call buying has been a way for people to dip their toes into being long vol for the past year. And indeed, we are seeing the same thing but from different time frames.
 
srinir said:
It measures cost of 30 day ATM option of SPY to cost of 1 Standard deviation away put option. That measure of skew is currently low.
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Well, that measure is going to be correlated with the absolute level of volatility since 1 SD (as measured by the ATM vol) is going to be further in high vol times, thus taking higher volatility. So it's a measure of general risk premium, not a relative representation of vol path.
 
sle said:
Well, that measure is going to be correlated with the absolute level of volatility since 1 SD (as measured by the ATM vol) is going to be further in high vol times, thus taking higher volatility. So it's a measure of general risk premium, not a relative representation of vol path.
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For me atleast, when I think of hedging, I think in terms of SD rather than 10% away. While correlation is +ve, it runs around 0.25. CBOE Skew measure is slightly negative.
Nations skew index did post one of the highest values recently when the vol. level is at 10ish.

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Minnesota fed also measures slightly long term skew based on SPX option prices. That measure of skew is pretty high.
https://www.minneapolisfed.org/banking/mpd

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Hey, you guys are posting some great charts (worth at *least* a thousand words each!), but with no attribution to the software/platform visible (to my eyes).

If you could drop just a parenthetical cite in there somewhere, it'd be much appreciated. (FWIW, I reside in the IB/TWS world, where any meaningful statistical work must be done off-platform/roll-your-own. Seeing something I'd like to emulate only gets me 1/4 the way there. :))
 
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