Tag Archives: VIN

No Comments

Calculating the New VIX—the Easy Part

The movements of the CBOE’s VIX® are often confusing.  It usually moves the opposite direction of the S&P 500 but not always.  On Fridays the VIX tends to sag and on Mondays it often climbs because S&P 500 (SPX) option traders are adjusting prices to mitigate value distortions caused by the weekend. In addition to these market driven eccentricities the […]

No Comments

CBOE Rolls Out VXST Component Volatility Indexes

In preparation for futures trading on the CBOE Short-Term Volatility Index (VXST), which pending regulatory approval, is expected to begin February 13 the research and systems guys have CBOE have rolled out two VXST component volatility indexes.  These two new indexes will allow traders the ability to see the contribution from each of the option […]