Talk:VIX

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[edit] Example

I think a better example would be in order. It's confusing where the calculations came from. I'm going to try to figure it out myself and then change it. KevinPuj 00:46, 17 August 2006 (UTC)

By all means, if there is something that can be better explained, please do so. Ronnotel 01:46, 17 August 2006 (UTC)
No actually, it's fine, it just didn't have the unit "months". I fixed it. KevinPuj 22:22, 17 August 2006 (UTC)

[edit] Equation

Would someone like to add the equation for how the VIX is calculated/defined? —The preceding unsigned comment was added by 82.211.86.2 (talk) 15:29, 17 January 2007 (UTC).

The exact calculation is a kernel-smoothed estimator and it's not easy to provide a meaningful summary without going into excessive detail. I considered adding it some time ago, but concluded that it would not enhance the article to do so. Please note that there is a reference to the exact methodology, which is available at the CBOE web site in pdf format. If there is a consensus view that the formula should be included, then I would recommend to be as sparing as possible (the derivation runs to multiple pages in the PDF). Ronnotel 15:45, 17 January 2007 (UTC)
Any chance you could point us in the direction of this multiple page derivation? I've had a look at the CBOE pdf cited, but can only find one showing the equation of the new VIX and this has no derivation at all, just an example and explanation of how to plug the numbers is. I'd be very interested in a more mathematical reference for where the equation comes from and why it takes that exact form (which has rather counter intuitive behaviour IMHO). Cpdo 17:31, 29 January 2007 (UTC)
As with most anything of substance to do with volatility, it comes from Derman and his clique at Goldman. Take a look here. Free registration is required. Ronnotel 18:59, 29 January 2007 (UTC)
Why does the example on this (i.e. VIX) page scale from +10 to +40%, but the same graph on Yahoo Finance scale from -60 to +120%? 08:04, 21 October 2007 (UTC) —Preceding unsigned comment added by BomberJoe (talk • contribs)

[edit] Validation of the VIX....???

If the VIX is too simplified as described in the section of Criticism, then validation of the method should be conducted. One needs to bear in mind that financial market is a complex stage. If a single VIX is not enough to measure the volatility, generate another or others to complement it with the implementation of validation process simultaneously

[edit] Revert edits by User:84.68.104.223

I reverted two edits:

  1. The math asserted in the example is incorrect. The original answer of 4.3% change in 30 days is correct. Please see Volatility (finance).
  2. There is already a reference to the CBOE specification in the article.

Ronnotel 00:31, 27 August 2007 (UTC)

The example on the VIX article states that if the VIX is at 15, the S&P has a 68% chance of moving up or down 4.33%. That assumes the expected return is 0%, correct? If the expected return were mu, then the S&P would have a 68% chance of ending at mu + / - 4.33% in one month, correct?

If you look at the "What is VIX?" section of http://www.cboe.com/micro/vix/VIXoptionsQRG.pdf it would appear that you are correct. --MichaelTurley (talk) 20:16, 21 March 2008 (UTC)