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IVX
IVX is a volatility index providing an intraday, VIX-like measure for any of US securities and exchange traded instruments. IVX is the abbreviation of Implied Volatility Index and is a popular measure of the implied volatility of each individual stock. IVX represents the cost level of the options for a particular security and comparing to its historical levels one can see whether IVX is high or low and thus whether options are more expensive or cheaper. IVX values can be compared for the stocks within one industry to find names which significantly differ from what is observed in overall sector.
==Specifications==
IVX is an expected stock volatility over a future period. It is derived from current option prices and it is available for any optionable security
To calculate this index they use a proprietary weighting technique factoring the Delta and Vega of each option participating in its calculations. In total, 8 ATM options (4 calls and 4 puts) are used within each expiration to calculate the Call, Put and Mean Implied Volatility of each stock. This IV Index is normalized to fixed tenors (30, 60, 90, 120, 150, 180, 360, 720 days) using a linear interpolation by the variance (IV2t)
IVX and VIX have similar nature, despite some diversities in the methodology and calculation. VIX (introduced by CBOE in 2003) is counted as an option prices’ weighted average, using all available range of strikes, thus it is independent of the model used to derive implied volatilities. This technique works with a thick grid of actively traded strikes (i.e. S&P 500 and other indices), but not for the majority of optionable stocks. IVX allows calculating this measure for each individual stock, not just for the market in general.
抄文引用元・出典: フリー百科事典『 ウィキペディア（Wikipedia）』
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