7 replies to this topic

[kaiser soze]

During the summer'06 sell-off, the peak in implied volatility of volatility coincided with the peak in volatility itself. This time, the VIX has come back (settled down) quite a bit while the implied volatility of the VIX is still inching higher. Also, while the VIX itself never scaled the heights reached in 2006, its implied has.

Edited by kaiser soze, 21 March 2007 - 11:11 AM.

[flyers&divers]

This means that writers of VIX options are not reducing asked premium levels because they expect more volatility. F&D

[Mtrader]

BIG IF. if sell off continues, it is going to be huge.

[Russ]

This is the option implied volitility on the Vix. Is this the same as you are talking about?

[kaiser soze]

My chart is from ivolatility.com. They have a proprietary formula that combines the implied option volatilities of several different strikes/expirations to generate a measure of Vix volatility that is consistent across different time frames. Also, the historical volatility is also overlaid for comparison. Your chart appears to be from IB-is that correct ? I dont know exactly how IB calculates the volatility of the VIX options.

[Russ]

Yes it is from IB. Did you mean that the 30 day historical volitility(red line) is up while the vix is down. The implied volatility (Blue line) is down.

My chart is from ivolatility.com. They have a proprietary formula that combines the implied option volatilities of several different strikes/expirations to generate a measure of Vix volatility that is consistent across different time frames. Also, the historical volatility is also overlaid for comparison.

Your chart appears to be from IB-is that correct ? I dont know exactly how IB calculates the volatility of the VIX options.

[kaiser soze]

Thanks for correcting me. Yes, I meant the historical volatility is up. But the implied for the VIX did reach a higher value than it did in 2006.

[Russ]

Right now the Vix seems to be gunning for the gap on the chart as the spx rallies.
http://stockcharts.com/c-sc/sc?s=$VIX&p=D&b=5&g=0&i=p94195042070&r=8836.png

Thanks for correcting me. Yes, I meant the historical volatility is up. But the implied for the VIX did reach a higher value than it did in 2006.