1. Definition: VIX was introduced by CBOE (Chicago Board Options Exchange) in 1993, which is an index obtained by weighted average of implied volatility of index options.
2. Calculation method: firstly, select S&; P 100 index is an index obtained by calculating the implied volatility of eight series of call options and put options that are closest to the price level of the latest month and the next month, and then weighting the average. Later, the index was revised in 2003, and the target was changed from S&: P 100 to S&; P500 changed the sequence of call options, and put the options closest to parity in all sequences, thus providing market participants with an indicator that can better reflect the overall market trend through a broader target base. 2. Calculation method: firstly, select S&; P 100 index is an index obtained by calculating the implied volatility of eight series of call options and put options * * * which are closest to the price level of the latest month and the next month, and then weighting the average. Later, the index was revised in 2003, and the target was changed from S&: P 100 to S&; P500 changed the order of call options, and put the options closest to parity in all sequences, thus providing market participants with an indicator that can better reflect the overall trend of the market through a broader theme base.
3. The relationship between 3.VIX and index implies the formation of volatility smile, because the volatility of price leveling series is lower than that of out-of-price series, and market participants are more willing to avoid risks when the index falls than when the index rises. 3. The relationship between 3.VIX and index implies the formation of volatility smile, because the volatility of price leveling series is lower than that of out-of-price series, and market participants are more willing to avoid risks when the index falls than when the index rises. Therefore, when the index falls, the demand for hedging of trading rights will increase, and at the same time, the implied volatility of high-priced take-away rights will be pushed. VIX reflects the views of market participants on the fluctuation of the market, so it is often used as a reverse indicator to judge whether the market is long or short. Therefore, when the index falls, the demand for hedging of trading rights will increase, and at the same time, the implied volatility of high-priced take-away rights will be pushed. VIX reflects the views of market participants on the fluctuation of the market, so it is often used as a reverse indicator to judge whether the market is long or short.
When VIX is higher, it means that market participants have stronger expectations for the volatility of the market outlook, which also reflects their uneasy psychological state; On the contrary, if VIX goes down, it reflects the mentality that market participants expect the volatility in the market outlook to ease, so VIX is also called the investor fear indicator. When VIX is higher, it means that market participants have stronger expectations for the volatility of the market outlook, which also reflects their uneasy psychological state; On the contrary, if VIX goes down, it reflects the mentality that market participants expect the volatility in the market outlook to ease, so VIX is also called the investor fear indicator. When the index falls, VIX usually rises, but when the index rises, VIX will fall. When the index falls, VIX usually rises, but when the index rises, VIX will fall. From another point of view, when VIX is unusually high or low, it means that market participants are in extreme panic, buying and selling their rights at no cost, or are too optimistic to take any hedging action, which is often the information that the market is about to reverse. From another point of view, when VIX is unusually high or low, it means that market participants are in extreme panic, buying and selling their rights at no cost, or are too optimistic to take any hedging action, which is often the information that the market is about to reverse.
VIX index is mainly compiled by standard & poor's; The implied volatility of the premium price of P500 index options is derived, and the trading rights and the volatility of near and far months are compiled by interpolation method. Because implied volatility mainly reflects market investors' expectations of future index volatility, it also means that when the VIX index is high, it means that investors expect future index volatility to intensify. VIX index is mainly compiled by standard & poor's; The implied volatility of the premium price of P500 index options is derived, and the trading rights and the volatility of near and far months are compiled by interpolation method. Because implied volatility mainly reflects market investors' expectations of future index volatility, it also means that when the VIX index is high, it means that investors expect future index volatility to intensify. On the other hand, when the VIX index goes down, it also means that investors expect that the fluctuation of the index will slow down in the future and the index will fall into a narrow pattern. VIX therefore not only represents the views of most people in the market on the future fluctuations of the index, but also clearly reveals the changes in the expected psychology of the market, so it is also called the investor panic index. On the other hand, when the VIX index goes down, it also means that investors expect that the fluctuation of the index will slow down in the future and the index will fall into a narrow pattern. VIX therefore not only represents the views of most people in the market on the future fluctuations of the index, but also clearly reveals the changes in the expected psychology of the market, so it is also called the investor panic index.
In the past, scholars have studied the relationship between VIX index and S& index, and obtained two characteristics: one is that VIX index has recovery characteristics, the other is that VIX index and S&are dynamic; P-index yield shows a positive correlation trend. In the past, scholars have studied the relationship between VIX index and S& index, and obtained two characteristics: one is that VIX index has recovery characteristics, the other is that VIX index and S&are dynamic; P-index yield shows a positive correlation trend. Past data from 2003 to the present show that S&; There is a positive correlation between the returns of P500 index and VIX index. Past data from 2003 to the present show that S&; There is a positive correlation between the returns of P500 index and VIX index.
How to interpret VIX index effectively, from VIX index and S&P; An interesting phenomenon can be found in the chart of P500 index. When the VIX index rises rapidly and the index is also in a downward trend, it usually means that the index is not far from the bottom position. How to interpret VIX index effectively, from VIX index and S&P; An interesting phenomenon can be found in the chart of P500 index. When the VIX index rises rapidly and the index is also in a downward trend, it usually means that the index is not far from the bottom position. On the contrary, when the VIX index has reached a low level and started to turn around, the position of the market index is also in a long track, which indicates that the time for the reversal of the market index in the future is approaching. On the contrary, when the VIX index has reached a low level and started to turn around, the position of the market index is also in a long track, which indicates that the time for the reversal of the market index in the future is approaching. It is observed that VIX index is a synchronous indicator of buying signal, but it is a lagging indicator of selling signal. It is observed that VIX index is a synchronous indicator of buying signal, but it is a reverse indicator of selling signal.
The trend of the stock index has no certain trajectory, but the characteristics of VIX index, combined with the news at that time and other technical indicators, improve the probability of predicting the future trend of the index, and the operational performance will also be improved. The trend of the stock index has no certain trajectory, but with the help of the technical indicators such as the characteristics of VIX index and the news at that time, the probability of predicting the future trend of the index will be improved, and the operational performance will be improved.
Sometimes we find that VIX index and S&; The trend of the P500 index is not exactly the opposite. Why? Sometimes we find that VIX index and S&; The trend of the P500 index is not exactly the opposite. Why?
Let's go back to definition: let's go back to definition:
The panic index VIX is "S&; The implied volatility of the P500 index in the next 30 days ". The panic index VIX is "S&; The implied volatility of the P500 index in the next 30 days ".
You can get it from S&; The price of P500 index futures options. You can get it from S&; The price of P500 index futures options. According to the past trend, the panic index reflects the market's expectation of future stock market "fluctuation" to some extent. According to the past trend, the panic index reflects the market's expectation of future stock market "fluctuation" to some extent. Therefore, when the stock market is "plunged" by bad news, the panic index (that is, the expected volatility) will rise rapidly. Therefore, when the stock market is "plunged" by bad news, the panic index (that is, the expected volatility) will rise rapidly. However, if we compare it every day, it is impossible to completely correspond the daily trend of the stock market and the trend of the panic index in the same day, because logically, it is not necessary to completely correspond, so there will be a phenomenon that "sometimes the stock market rises and falls and the trend of the panic index is very different". However, if we compare it every day, it is impossible to completely correspond the daily trend of the stock market and the trend of the panic index in the same day, because logically, it is not necessary to completely correspond, so there will be a phenomenon that "sometimes the stock market rises and falls and the trend of the panic index is very different".
Because the stock market and options are not the same market, they are related, but they will not correspond to each other one by one. Because the stock market and options are not the same market, they are related, but they will not correspond to each other one by one.
Therefore, the panic index can only be used to observe the expected reaction degree of the market (strictly speaking, it should be the option market) to sudden news or events for a long time. Therefore, the panic index can only be used to observe the expected reaction degree of the market (strictly speaking, it should be the option market) to sudden news or events for a long time.