The volatility index was created more than 30 years ago. Since then it has become a favorite tool for both speculation and risk management. There is now strong evidence that VIX futures and related exchange-traded products are changing the market dynamics. Specifically, in the early days of the VIX, the cash market led the futures. But since 2012, VIX futures leads cash 75% of the time. [caption id="attachment_413" align="aligncenter" width="794"] Business Insider recently interviewed two of the creators of the volatility index, Robert Whaley and Dan Galai. Here are the key takeaways from R. Whaley interview,
Regarding bullet point #1, we have repeatedly said that VIX futures are (risk-neutral) expectation values of forward volatilities, and not spot VIX. Furthermore, since they are expection values in the risk-neutral world, they do not represent the future expected value of the spot VIX in the physical measure. Here are the key takeaways from Dan Galai interview
Originally Published Here: What Do Creators of the VIX Think of Volatility?
0 Comments
Leave a Reply. |
Archives
April 2023
|