Volatiilsusindeksid ja nende optsioonid
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Tahtsin lisada eilsesse teemasse ühe küsimuse, kuid 18.05 teemat ei olnud, siis algatasin ise.
Minu küsimus (võibolla veidi algaja oma) on selle kohta - kas ja kes on kaubelnud VIX (CBOE VOLATILITY INDEX) optsioonidega ja kas LHV vahendusel nendega kaubelda saab?
Kui vaadata VIX viimase aasta graafikut, siis ollakse praegu absoluutses tipus (eilne sulgemine 16,92 peal). Kuna täna on optsioonireede, siis - kas oleks mõtekas võtta putte ? -
VIX nagu nimigi ütleb näitab turu volatiilsust. Lihtsustatult, kui VIX on kõrge, siis peab optsioone müüma ( kirjutama ), sest siis mängid volatiilsuse vähenamisele ja kui madal, siis ostma, kuna siis mängid volatiilsuse tõusule. Ei tea, et VIX indeksil optsioone oleks.
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Tänud, stocker. Järelikult olen ise rumal... küsimus tekkis sellest, et optinsxpress.com näitab VIX all (chain) optsioone... näiteks järgmine rida:
Jun 06 Calls - - (32 days to expiration) VIX @ 16.92 - - Jun 06 Puts
VIXFB 4.20 / 0 / 4.30 - - 10.00 VIXRB - - 0.15 / 0 / 0.15
Millega siin siis tegu on?
(vabandan juba ette asjatundjate ees, kui ka see küsimus väga rumal on) -
Erinevate turuinfo pakkujate vahel on siin väike segadus sümbolites, kuid volatiilsusindeksile on optsioonid täitsa olemas ja ka LHV vahendusel kaubeldavad.
Yahoo!Finance põhjal
CBOE VOLATILITY INDEX (^VIX) eilne sulgemishind 16.99, optsioone pole
CBOE VOLATILITY INDEX (VIX-X.W) eilne sulgemishind 16.21, optsioonid olemas
Ivolatility.com põhjal
CBOE Volatility Index eilne sulgemishind 16.99, optsioonid olemas, sümbolid analoogsed Yahoo! VIX-X.W sümbolitega
LHV Traderis aga
VIX = CBOE VOLATILITY INDEX, eilne sulgemishind 16.99, optsioone pole
VBI = JUMBO CBOE S&P 500 VOLATILITY INDEX, eilne sulgemishind 11.9, optsioonid olemas, optsioonisümbolid kattuvad Yahoo! VIX-X.W ja Ivolatility.com VIX omadedega, optsioonide sulgemishinnad kattuvad osaliselt.
Lisaks veel viimase kauplemispäeva ja lõppemise osas info erinev:
Yahoo! väitel VIX 15.00 juuni call ja put lõppemas 16. juunil, mis on ka juuni 3. reede.
LHV Trader andmetel on selles sama optsioonipaari (sümbolid samad) viimane kauplemispäev 20. juunil ja lõppemine 21. juunil.
Ivolatility.com annab selle sama optsioonipaari lõppemiseni jäänud 33 päeva, mis viitab ka 21. juunile.
Kordaja on neil optsioonidel 100 ehk 0.01 muutus indeksi väärtuses tähendab 1 USD.
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Suur tänu, Henno, väga põhjalik seletus!
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Näed siis optsioonid puha olemas. :)
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Volatiilsusekauplejatele uus indeks saadaval: 10-year U.S. Treasury Note Volatility Index (ticker: VXTYN). Siiski tuletan meelde, et tegemist on indeksiga, mida kaubelda ei saa, kuid tänasest peaksid olema saadaval selle indeksi optsioonid.
Muud volatiilsusindeksid (kaubeldavad läbi futuuride või optsioonide):
CBOE Volatility Index (VIX),
CBOE Short-Term Volatility Index (VXST),
CBOE NASDAQ-100 Volatility Index (VXN),
CBOE Russell 2000 Volatility Index (RVX),
CBOE Gold ETF Volatility Index (GVZ),
CBOE Crude Oil ETF Volatility Index (OVX),
CBOE Emerging Markets ETF Volatility Index (VXEEM),
CBOE Brazil ETF Volatility Index (VXEWZ) -
Turule on tulnud uued instrumendid, millede eesmärk on anda VIX-laadne mõõdik krediidituru volatiilsusele: Cboe Global Markets and S&P Dow Jones Indices to Launch New Credit VIX Indices on October 13
* Four new Credit Volatility Indices (Credit VIX) developed based on Cboe's proprietary VIX® Index methodology and S&P Dow Jones Indices' CDX and iTraxx Indices
* Designed to provide a VIX Index-like measure for credit market volatility
* New indices added to Cboe's growing volatility index suite
Cboe Global Markets, Inc. (Cboe: CBOE), the world's leading derivatives and securities exchange network, and S&P Dow Jones Indices (S&P DJI), the world's leading index provider, today announced plans to launch four new Credit Volatility Indices (Credit VIX) on Friday, October 13, 2023.
Credit Volatility Indices (Credit VIX)
* CDX/Cboe NA High Yield 1-Month Volatility Index (ticker symbol: VIXHY)
* CDX/Cboe NA Investment Grade 1-Month Volatility Index (ticker symbol: VIXIG)
* iTraxx/Cboe Europe Main 1-Month Volatility Index (ticker symbol: VIXIE)
* iTraxx/Cboe Europe Crossover 1-Month Volatility Index (ticker symbol: VIXXO)
This new series of indices, jointly developed by Cboe Labs, the company's product innovation hub, and S&P DJI, are based on Cboe's proprietary VIX® Index methodology and S&P DJI's CDX and iTraxx Indices and aim to track the expected level of volatility across the North American and European credit markets.
The Cboe Volatility Index® (VIX®) is considered by many to be the world's premier barometer of U.S. equity market volatility. The VIX Index is based on real-time prices of options on the S&P 500® Index (SPX) and is designed to reflect investors' consensus view of future (30-day) expected U.S. stock market volatility. The new Credit VIX Indices aim to provide a comparable benchmark index for the credit markets, so investors will have a broader view of volatility in this important additional asset class.
"As we celebrate the 30th anniversary of the VIX Index this year, we couldn’t be more excited to continue our track record of innovation and collaboration with S&P DJI by extending the VIX Index methodology into the fixed income space," said Rob Hocking, Senior Vice President and Head of Product Innovation at Cboe. "Interest in this asset class continues to grow amidst a rising rate environment, and we expect these indices will help investors better track credit market volatility, manage corporate credit risk, or implement yield-enhancement and hedging strategies. With the VIX family of volatility indices covering equities, credit and various other asset classes, investors can also look across our diverse product set to compare trends and correlations across different markets in a more consistent manner."
"This launch further strengthens our ongoing collaboration with Cboe while providing additional insights into the level of expected volatility for the fixed income marketplace," said Frans Scheepers, Head of Fixed Income, Currency and Commodity Products at S&P Dow Jones Indices. "The Credit VIX Indices are expected to provide new clear signals on bond market sentiment, and act as a new barometer of corporate credit risk in North America and Europe. Designed to track the level of uncertainty in global credit markets over various time horizons, this new suite of indices is expected to allow market participants to better track credit market volatility and manage corporate credit risk."
Similar to the VIX Index, the new Credit VIX Indices are designed to track near-term uncertainty around corporate credit risk by measuring the market’s expectation of how volatile credit default swap (CDS) index spreads will be over the next 30 days. Options with varying strikes convey different information about the expected future movement in credit spreads; the Credit VIX Methodology is designed to extract information from available options strikes and distill it to one number that represents a consensus view on near-term CDS index spread volatility.
For example, amid the 2023 collapse of two U.S. banks, the VIXHY Index rose from 240.09 on March 2 to 394.15 on March 20, and during the COVID-19 crisis the VIXHY rose to 1,263.97. The following chart shows historical values of the Credit VIX Indices around major market events:
