VIX 今天的有趣的现象

trader88 · 发表于 2011-12-12 05:28 PM

本帖最后由 trader88 于 2011-12-12 17:29 编辑

VIX down 0.71 但 VIX Futures all up, 大家知道是为什么吗？

VIX and VIx Future_2011-12_12.png

黄老泻 · 发表于 2011-12-12 05:37 PM

狗剩在捣鬼，为了后天的settle。

silkway · 发表于 2011-12-12 05:46 PM

黄老泻发表于 2011-12-12 17:37
狗剩在捣鬼，为了后天的settle。

Do you mind explain more about your comment? I am very interested. Thanks.

papli · 发表于 2011-12-12 06:02 PM

settle date is next wednesday a. does this mean tomorrow up or down?
confused by vix

kdkboy · 发表于 2011-12-12 08:49 PM

我认为是无效的信号，参考老蛇小时图，连续7根阳棒，必然有回调，和VIX严重偏离10日线，MM必有回调，今天回调后，大盘和VIX同时红的，明天必涨，所以我判断是无效信号

但为什么VIX Future在涨，我也不懂了

fj233 · 发表于 2011-12-12 09:17 PM

本帖最后由 fj233 于 2011-12-12 22:21 编辑

found this on google

The VIX futures fair value is, instead, calculated by pricing the forward 30-day variance which underlies the VIX Futures settlement price. The computation of fair value is fairly complicated. For those of you who wish to delve deeper into the mathematics, more information can be found on the CBOE Futures Exchange website at http://cfe.cboe.com/education/vixprimer/Features.aspx

多伦多短刀客 · 发表于 2011-12-12 09:48 PM

VIX futures price based on where the market expects to see the VIX on a given date in the future, i.e, the day the VIX expires. That estimate may or may not move on a given day with a move in the VIX. The further out in time the future is, the less it will track VIX moves.

navybean · 发表于 2011-12-12 10:03 PM

Thanks

trader88 · 发表于 2011-12-12 10:33 PM

fj233 发表于 2011-12-12 21:17
found this on google

The VIX futures fair value is, instead, calculated by pricing the forward 30 ...

是的， SPX 30 day 与 60 day 的 IV Spread 是一两个月以来最大的一天。30 day IV 低于 60 day IV 很多。

licai5688 · 发表于 2011-12-12 10:46 PM

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[讨论] VIX 今天的有趣的现象

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