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发表于 2011-5-16 03:46 PM
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chickencoop 发表于 2011-5-16 16:32 
not exactly. more like past volatility... check out this site
http://en.wikipedia.org/wiki/VIX
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Got it from the link. I also observed the price drop when the vix is going up or flat. I used to thought that the price of some strikes have been skewed.
The VIX is calculated and disseminated in real-time by the Chicago Board Options Exchange. It is a weighted blend of prices for a range of options on the S&P 500 index. On March 26, 2004, the first-ever trading in futures on the VIX Index began on CBOE Futures Exchange (CFE). As of February 24, 2006, it became possible to trade VIX options contracts. A few Exchange Traded Funds seek to track its performance. The formula uses a kernel-smoothed estimator that takes as inputs the current market prices for all out-of-the-money calls and puts for the front month and second month expirations.[1] The goal is to estimate the implied volatility of the S&P 500 index over the next 30 days. |
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