VIX Volatility Index rising star

VIX Volatility Index rising star

26 September 2013
(Translation version)
Written by 王冠一 (http://www.wongsir.com.hk)

Although the VIX volatility index has lagged characteristics, we always do not recommend stocks investors who based solely on the VIX Change to decide to invest or to leave away from the stock market. However, VIX volatility index always has its influence to many foreign financial media who will still  use VIX to analyze the U.S. stocks.

VIX (Volatility Index), also known as the fear index. When the index is rising, which represents most investors fear stocks fell ; Conversely, when the index fell, which represents most investors expect stocks to rise.

The principle of calculating VIX actually is very simple, basically it refers to S&P 500 index stocks volatility, it is  indeed reflected in the S&P 500 index associated with short-term options contract price changes - when short-term option contract price rising, which represents more investors purchase S&P 500 options to hedge stocks fell, VIX index will rise ; contrary, when the contract prices fell, which represent investors are reducing to buy the S&P 500 options, VIX index will fall. So there will be an interesting phenomenon : When the VIX index rise, the S&P 500 index fell ; But when the VIX index fell, the S&P 500 index will rise.

If overlap the chart of last year S&P 500 Index and VIX, althrough we can find that the S&P 500 index is upward trend, but last year in February, April, June, August and December, there are total of five significant stocks fell and VIX surged at the same time. time after time, investors found that if VIX surged, they will hastily sell the S&P 500 index futures, in fact, this is not a right investment strategy.

VIX volatility index has been issued by Chicago Board Options Exchange (CBOE) monopoly, although VIX index can not be traded, but it spawned many derivative futures contract business. Last year, VIX futures exchange volumn is up to 23.8M, it is almost twice that of 2011. Recently, the German stock exchange (Deutsche Borse) seems intent to encroach on this market, they via International Securities Exchange, which is owned by them, partnered with index Nation Shares, they newly founded a volatility index called VolDex , there has a ​​clear intention to grab the CBOE business.

Nations Shares criticism, because of the S&P 500 options market illiquidity, sometimes, strange phenomena of VIX futures prices and the VIX index trend divergence happened. VIX index calculated on the basis of traditional illiquid defects, but VolDex calculation is not based on options with  S&P 500 index-linked, but they are associated with SPDR S&P 500 ETF linked, it takes full advantage of the high mobility of ETF options market advantage to calculate volatility index values. However, the use of derivatives with derivatives to estimate the volatility of stocks, that sounds too complicated, I believe the next three to five years, it may not be able to replace the traditional position of VIX.

http://www.wongsir.com.hk/index.php/2008-07-21-20-05-17-sp-1127164607/7143-2013-09-26-03-28-38

波動指數 後起之秀

雖然 VIX 波動指數有滯後的特質，一向不建議美股投資者，單純根據 VIX 的升跌，去決定入市還是離場。不過，VIX 波動指數始終有其江湖地位，不少外國財經媒體依然會用 VIX 來分析美股走勢。

VIX 波動指數 (Volatility Index)，又稱恐慌指數，當指數上升的時候，即代表愈多投資者擔心美股下跌；相反，當指數下跌，即代表愈多投資者預期美股上升。

計算VIX的原理其實好簡單，基本上以標普 500 指數作為美股升跌的參考，指數的升跌，其實是反映與標普 500 指數相關的短期期權 (Short Term Options) 合約價格變化 － 當短期期權合約價格上升，即代表購買標普 500 期權以對沖美股下跌的投資者增加，VIX 指數便上升；相反，當合約價格下跌，即購買標普 500 期權的投資者減少，VIX 指數便下跌。於是會出現有趣的現象：當 VIX 指數上升，標普 500 指數下跌；但當 VIX 指數下跌，標普 500 指數便會上升。

如果把過去一年標普 500 指數與 VIX 重疊，便會發現，雖然標普 500 指數趨勢向上，但去年 12 月、今年 2 月、4 月、6 月、8 月美股共五次較顯著的下跌當中，VIX 當時皆急升。久而久之，投資者以為只要發現 VIX 急升，便急急沽出標普 500指數期貨，其實這種投資策略不太正確。

VIX 波動指數多年來一直由芝加哥期權交易所 (CBOE) 壟斷經營，雖然 VIX 指數本身不能買賣，但就衍生出許多期貨 (Futures) 合約生意。去年 VIX 期貨的轉手量即高達 2,380 萬張，差不多是 2011 年的兩倍。最近，德意志證券交易所 (Deutsche Borse) 似乎有意染指這個市場，透過旗下國際證券交易所 (International Securities Exchange)，夥拍指數公司 Nation Shares，創立一隻叫做 VolDex 的波動指數，擺明有意搶 CBOE 的生意。

Nations Shares 批評，由於標普 500 期權市場流動性不足，所以有時會出現 VIX 期貨價格走勢與 VIX 指數走勢背馳的怪現象。針對傳統 VIX 指數計算基礎流動性不足的缺陷，VolDex 主要計算的期權並非跟標普 500 指數掛鉤，而是跟 SPDR 標普 500 的 ETF 掛鈎，充分利用 ETF 期權市場流動性較高的優勢以計算出波動指數的數值。然而，利用衍生工具的衍生工具，來估計美股的波動情況，聽起來也覺得太複雜，相信未來三至五年亦未必能夠取代 VIX 的傳統地位。



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