Indicele pieței de opțiuni, VIX - Wikipedia

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    Please help improve this article by adding citations to reliable sources. Unsourced material may be challenged and removed. February Learn how and when to remove this template message The following is a timeline of key events in the history of the VIX Index:[ according to whom?

    indicele pieței de opțiuni

    A volatility index would play the same role as the market index play for options and futures on the index. The old methodology was renamed the VXO.

    The blue lines indicate linear regressions, resulting in the correlation coefficients r shown.

    indicele pieței de opțiuni

    Note that VIX has virtually the same predictive power indicele pieței de opțiuni past volatility, insofar as the shown correlation coefficients are nearly identical. VIX is sometimes criticized as a prediction of future volatility. Instead it is described as a measure of the current price of index options.

    indicele pieței de opțiuni

    Shiller has argued that it would be circular reasoning to consider VIX to be proof of Black-Scholes, because they both express the same implied volatility, and has found that calculating VIX retrospectively in did not predict the surpassing volatility of the Great Depression —suggesting that in the case of anomalous conditions, VIX cannot even weakly predict future severe events.

    The Journal of Derivatives.

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    Unknown volume unknown issue : unknown page nos.