EliteVol @EliteVolatility

Following recent rollout of EAFE (VXMXEA) and EM (VXMXEX) VIX indices, CBOE set to launch new range of options based on MSCI global indices on March 18th: World Index Options (MXWLD), ACWI Index Options (MXACW), and USA Index Options (MXUSA) prnewswire.com/news-releases/…

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EliteVol @EliteVolatility

2 years ago

#CNN Fear and Greed Index completely broken for 3 days now🤨🤫

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EliteVol @EliteVolatility

2 years ago

$VIX VRO @ 16.28

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EliteVol @EliteVolatility

2 years ago

Exactly 50 years ago today, regulated Call Options of 16 companies started trading at CBOE: They were: AT&T,Atlantic Richfield,Brunswick,Eastman Kodak, Ford,Gulf & Western,Loews,McDonalds,Merck, Northwest Airlines,Pennzoil,Polaroid,Sperry Rand,Texas Instruments,Upjohn and Xerox

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EliteVol @EliteVolatility

2 years ago

Converting VIX1D closing prices (calc'ed from bus. days) back to cal. days is relatively easy given that there is no interpolation at the close (1 exp only). It clearly shows why CBOE opted for bus. days. As expected, the weekend effect is ridiculous. Spikes remain present $VIX

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EliteVol @EliteVolatility

2 years ago

$VIX CBOE has added historical (close only) data for the new VIX1D index going back to May 13, 2022. The data can be found here 👉 cdn.cboe.com/api/global/us_…

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EliteVol @EliteVolatility

2 years ago

I'm sorry @CBOE , but this is wrong. Risk-free interest rate does not care about Business days/years. The Exponential in the VIX1D formula needs to be calc'ed using calendar days, as is the case with $VIX. Granted, effect is negligible, but correct is correct.

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EliteVol @EliteVolatility

2 years ago

Many things "wrong" with the new VIX1D index. Interpolation within a 1-day timefr. makes no sense. Open+Close will reflect completely different exp. Business day approach will create weekend effect opposite of that present in other $VIX indices as there IS variance premium on WE!

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Vance Harwood @6_Figure_Invest

2 years ago

The Cboe has published a VIX1D white paper cdn.cboe.com/api/global/us_… . Some significant tweaks have been made to the methodology to compensate for the short time span of the calculation.