VIX, non Vaporub - Pagina 195
ENI: analisti vedono terzo trimestre debole, l?impatto della crescita in Norvegia
Tempi difficili per le oil company, strette fra la perdurante debolezza del prezzo del petrolio e la svolta dell?economia globale verso orizzonti sostenibili. Così, analisti e investitori stanno cominciando a …
Banco Bpm incontenibile in Borsa, tutti i pro e i contro di una fusione con UBI
La possibile fusione tra Banco Bpm e Ubi Banca continua a tenere banco a Piazza Affari. L?unione tra il terzo e quarto gruppo bancario italiano porterebbe alla creazione di un …
Trump minaccia sanzioni potenti contro la Turchia, lira scende ma non affonda. Trader scettici
Così il ministro degli Esteri austriaco Alexander Schallenberg: "E' assurdo pensare a sanzioni per un Paese e allo stesso tempo parlare dell'adesione all'Ue".
Tutti gli articoli
Tutti gli articoli Tutte le notizie

  1. #1941
    L'avatar di Blacksmith.
    Data Registrazione
    Apr 2016
    Messaggi
    4,283
    Mentioned
    48 Post(s)
    Quoted
    2579 Post(s)
    Potenza rep
    0
    VIX Dropped Below S&P 500 Realized Volatility | Seeking Alpha

    Historically, implied volatility tends to stay above realized volatility due to the skewed distribution of stock returns. It is "normal" when VIX is above the realized volatility of the broad equity market. The spread is usually around 3-4 points. It tended to narrow during periods of market turbulence; 2008 was the only year that average VIX readings, which were higher than usual, fell short of the realized volatility. On the contrary, while the 2017 VIX level was lower than usual, the relationship between implied and realized volatility remained fairly "normal." The negative spread between VIX and realized volatility reflects overall complacency in the market.




    Why is implied volatility normally higher than realized? From a behavioral finance perspective, this is an indication of risk aversion - investors are willing to pay a premium to buy protection against risk. From an option pricing perspective, it is because stocks and stock indices do not follow the log-normal distribution assumption of Black-Scholes. The empirical distribution of stock returns has a negative skew and hence reflects larger losses than a normal or log-normal model using the ex-post mean and standard deviation would predict. Implied volatility takes into account large but rare events, while realized volatility will only include such events if they have occurred in the look-back calculation period. Since low-probability events are rare by definition, realized volatility tends to understate the potential for large losses most of the time. However, in a distressed market, realized volatility tends to overstate the risk of large losses when these sudden moves indeed occurred in the calculation window.

  2. #1942

    Data Registrazione
    Oct 2009
    Messaggi
    9,507
    Blog Entries
    61
    Mentioned
    8 Post(s)
    Quoted
    567 Post(s)
    Potenza rep
    42949683
    Citazione Originariamente Scritto da Blacksmith. Visualizza Messaggio
    VIX Dropped Below S&P 500 Realized Volatility | Seeking Alpha

    Historically, implied volatility tends to stay above realized volatility due to the skewed distribution of stock returns. It is "normal" when VIX is above the realized volatility of the broad equity market. The spread is usually around 3-4 points. It tended to narrow during periods of market turbulence; 2008 was the only year that average VIX readings, which were higher than usual, fell short of the realized volatility. On the contrary, while the 2017 VIX level was lower than usual, the relationship between implied and realized volatility remained fairly "normal." The negative spread between VIX and realized volatility reflects overall complacency in the market.




    Why is implied volatility normally higher than realized? From a behavioral finance perspective, this is an indication of risk aversion - investors are willing to pay a premium to buy protection against risk. From an option pricing perspective, it is because stocks and stock indices do not follow the log-normal distribution assumption of Black-Scholes. The empirical distribution of stock returns has a negative skew and hence reflects larger losses than a normal or log-normal model using the ex-post mean and standard deviation would predict. Implied volatility takes into account large but rare events, while realized volatility will only include such events if they have occurred in the look-back calculation period. Since low-probability events are rare by definition, realized volatility tends to understate the potential for large losses most of the time. However, in a distressed market, realized volatility tends to overstate the risk of large losses when these sudden moves indeed occurred in the calculation window.
    C'è da dire che alcuni miti sulla persistenza del premio al rischio della volatilità (VRP) si sciolgono come neve al sole nel momento in cui si esce da Black & Scholes e si usano formule "model free" che tengano conto dei momenti più alti della distribuzione.

    In effetti la volatilità storica è una misura molto povera per definire cosa potrebbe accadere di estremo al sottostante, da qui una buona fetta di VRP illusorio.

  3. #1943
    L'avatar di -Volumista-
    Data Registrazione
    Mar 2019
    Messaggi
    142
    Mentioned
    1 Post(s)
    Quoted
    87 Post(s)
    Potenza rep
    6796705
    non lo acquisto, ma per me non tarda a fare qualche sfiammata....

  4. #1944

    Data Registrazione
    Jun 2012
    Messaggi
    811
    Mentioned
    0 Post(s)
    Quoted
    201 Post(s)
    Potenza rep
    10906310
    Citazione Originariamente Scritto da CharlesIngalls Visualizza Messaggio
    Ciao ragazzi... volevo provare il mio metodo su uno strumento che replica il VIX... ne esiste qualcuno...???
    La scelta dello strumento dipenderà anche dal metodo io credo no?

Accedi