|
VIX is a trademarked ticker symbol for the CBOE Volatility Index, a popular measure of the implied volatility of S&P 500 index options; the VIX is calculated by the Chicago Board Options Exchange (CBOE). Often referred to as the ''fear index'' or the ''fear gauge'', the VIX represents one measure of the market's expectation of stock market volatility over the next 30-day period. The idea of a volatility index, and financial instruments based on such an index, was first developed and described by Professor Menachem Brenner and Prof. Dan Galai in 1986. Professors Brenner and Galai published their research in the academic article "New Financial Instruments for Hedging Changes in Volatility," which appeared in the July/August 1989 issue of Financial Analysts Journal.〔Brenner, Menachem, Fand Galai, Dan. "New Financial Instruments for Hedging Changes in Volatility," Financial Analysts Journal, July/August 1989. http://people.stern.nyu.edu/mbrenner/research/FAJ_articleon_Volatility_Der.pdf〕 In a subsequent paper, Professors Brenner and Galai proposed a formula to compute the volatility index.〔Brenner, Menachem, and Galai, Dan. "Hedging Volatility in Foreign Currencies," The Journal of Derivatives, Fall, 1993. http://people.stern.nyu.edu/mbrenner/research/JOD_article_of_Vol_Index_Computation.pdf〕 Professors Brenner and Galai wrote "Our volatility index, to be named Sigma Index, would be updated frequently and used as the underlying asset for futures and options... A volatility index would play the same role as the market index play for options and futures on the index." In 1992, the CBOE retained Vanderbilt University Professor Robert Whaley to develop a tradable stock market volatility index based on index option prices. At a January 1993 news conference, Prof. Whaley provided his recommendations, and subsequently, the CBOE has computed VIX on a real-time basis. Based on the history of index option prices, Prof. Whaley computed daily VIX levels in a data series commencing January 1986, available on the CBOE website. Prof. Whaley's research for the CBOE appeared in the Journal of Derivatives.〔Robert E. Whaley, 1993, "Derivatives on market volatility: Hedging tools long overdue," Journal of Derivatives 1 (Fall), 71-84. http://rewconsulting.files.wordpress.com/2012/09/jd93.pdf〕 The VIX is quoted in percentage points and translates, roughly, to the expected movement in the S&P 500 index over the upcoming 30-day period, which is then annualized. "VIX" is a registered trademark of the CBOE.〔(Introduction to VIX Options and Futures )〕 ==Specifications== The VIX is calculated and disseminated in real-time by the Chicago Board Options Exchange. Theoretically it is a weighted blend of prices for a range of options on the S&P 500 index. On March 26, 2004, the first-ever trading in futures on the VIX began on CBOE Futures Exchange (CFE). As of February 24, 2006, it became possible to trade VIX options contracts. Several exchange-traded funds seek to track its performance. The formula uses a kernel-smoothed estimator that takes as inputs the current market prices for all out-of-the-money calls and puts for the front month and second month expirations.〔(【引用サイトリンク】 url= http://www.cboe.com/micro/vix/vixwhite.pdf )〕 The goal is to estimate the implied volatility of the S&P 500 index over the next 30 days. The VIX is calculated as the initiated today. Note that the VIX is the volatility of a variance swap and not that of a volatility swap (volatility being the square root of variance, or standard deviation). A variance swap can be perfectly statically replicated through vanilla puts and calls whereas a volatility swap requires dynamic hedging. The VIX is the square root of the risk-neutral expectation of the S&P 500 variance over the next 30 calendar days. The VIX is quoted as an annualized standard deviation. The VIX has replaced the older VXO as the preferred volatility index used by the media. VXO was a measure of implied volatility calculated using 30-day S&P 100 index at-the-money options. Statistician Salil Mehta of Statistical Ideas shows the distribution of the VIX.〔http://statisticalideas.blogspot.com/2015/07/volatility-in-motion.html〕 抄文引用元・出典: フリー百科事典『 ウィキペディア（Wikipedia）』 ■ウィキペディアで「VIX」の詳細全文を読む スポンサード リンク
|