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Following the successful launch of VIX futures, Cboe Options Exchange introduced VIX options in , providing market participants with another tool to manage volatility. VIX options enable market participants to hedge portfolio volatility risk distinct from market price risk and trade based on their view of the future direction or movement of volatility.

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VIX Options

Following the successful launch of VIX futures, Cboe Options Exchange introduced VIX options in , providing market participants with another tool to manage volatility. VIX options enable market participants to hedge portfolio volatility risk distinct from market price risk and trade based on their view of the future direction or movement of volatility.

The highest VIX readings occur when investors anticipate that huge moves in either direction are likely. Only when investors perceive neither significant downside risk nor significant upside potential will the VIX be low. VIX is sometimes criticized as a prediction of future volatility.

It instead is a measure of the current price of index options. Despite their sophisticated composition, critics claim the predictive power of most volatility forecasting models is similar to that of plain-vanilla measures, such as simple past volatility. Some practitioners and portfolio managers seem to ignore or dismiss volatility forecasting models. In a similar vein, Emanuel Derman expressed his disillusion with empirical models unsupported by theory.

Michael Harris argued that VIX just tracks the inverse of price and has no predictive power. VIX should have predictive power as long as the prices computed by the Black-Scholes equation are valid assumptions about the volatility predicted for the future lead time the remaining time to maturity. Shiller argued that it would be circular reasoning to consider VIX to be proof of Black-Scholes, because they both express the same implied volatility.

He also finds that calculating VIX retrospectively in does not predict the highest-ever volatility of the Great Depression , due to the anomalous conditions of the event, VIX cannot predict, even weakly, any future severe events.

On February 12, , a letter was sent to the Commodity Futures Trading Commission and Securities and Exchange Commission by a law firm representing an anonymous whistleblower alleging manipulation of the VIX.

From Wikipedia, the free encyclopedia. For other uses, see Vix disambiguation. The Journal of Derivatives. Retrieved 7 March See the definition volatility for a discussion of computing inter-period volatility. International Journal of Financial Markets and Derivatives. Griffin; Amin Shams May 23, Retrieved May 4, Retrieved 6 July Retrieved from " https: American stock market indices Derivatives finance Mathematical finance Technical analysis.

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