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Comparable ASX VIX to CBOE VIX indexes?

Discussion in 'Derivatives' started by Dominover, Jun 24, 2020.

  1. Dominover

    Dominover

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    The CBOE offers a 9 day, 1 month (standard VIX), 3 month, and 6 month Volatility index based on contracts for these time periods. I'm wondering if Australia offers something similar.

    The S&P ASX200 VIX offers a 30-day time horizon which doesn't allow for longer term outlooks on the VIX like the different CBOE versions.

    Should I maybe look at VIX futures for this purpose?
    Thanks
     
  2. qldfrog

    qldfrog

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    I looked and could not find anything similar to VIX so using the US version for ASX as well, not too bad correlation in term of market trends lately...the asx200 VIX is not helpful and fundamentally different as I understand it
     
  3. cutz

    cutz

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    G'Day Dominover

    As far as I know, the aussie market only has a volatility index, XVI. The VIX may be your only choice for an exchange traded product.

    Interactive Brokers can give you access.
     
  4. Dominover

    Dominover

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    Yes, but the VIX shows implied vol and that comes from put and call option prices.. It's a future prediction of volatility basically derived from option prices now.
     
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  5. qldfrog

    qldfrog

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    am afraid my initial answer remain valid, but interested if you can find something worthwhile
     
  6. cutz

    cutz

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    The XVI index is also derived from put and call option prices ( in this case XJO's ), apparently futures are available according to the ASX but I've been unable to find a ticker, not that I would dare to trade it, more for info only.

    BTW, personally I struggle to see how the VIX would be a prediction of future volatility. :2twocents
     
  7. Dominover

    Dominover

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    Thanks for the answers.. It's good to try to nut out alternatives if they are available.
    My explanation of the VIX is derived from the below.

    -When options are priced, they are initially priced using a prediction of future volatility. This is found by using historical volatility (probably a volatility cone type of arrangement) at the beginning.

    -Once that derivative enters the secondary market and is openly traded, the price of the option moves up and down according to supply and demand.

    -These new option prices (priced by the market) IMPLY that the prediction of future volatility has now changed.

    -So you take the option pricing formula, plug in the price, and back engineer that formula to come up with what that price IMPLIES is future volatility. That is, the Implied Volatility.
    I say future volatility because the price of the option is a product on what value that option has to the holder given the price of the underlying stock it is based on, in the future. Derivatives are a forward looking instrument.

    So, technically, high VIX = High Implied Volatility = What the market percieves the future volatility of the market being. However, high volatility can still result in tiny spreads if the price swings are Interday and not Intraday.

    For this reason I wast thinking that the ability to sort on Intra-day Average True Range might be a useful option.
     
  8. cutz

    cutz

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    @Dominover, no probs mate, interesting take on Implied Volatility. ;)

    If anyone has a ticker for the ASX front month volatility futures contract, please post it up.
     
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