名詞解釋：VXN/VIX

名詞解釋：VXN/VIX

Volatility Index

Volatility studies are widely used in options trading. Volatility is simply the fluctuation of contract price (in this instance) and measurements of this particular volatility help option traders to zero in on contracts that offer the best bang for the buck. These measurements also have the additional benefit of indicating whether significant sentiment trends are forming. Generally, Puts tend to increase in volatility as the market is dropping. Conversely, Calls increase in volatility when the market is rising. As with the P/C Ratio, Call buying is associated with optimism, and Put buying with pessimism. Puts are also used as a way to short the market, but without some of the dangers of selling short. They therefore offer a pretty good insight as to how strongly traders feel the market will be trending down. People are more afraid of losing money than they are of not making it. In a falling market, the demand for Puts goes up, along with the price (just like your car insurance premium might, if there was suddenly a rash of car thefts).

To measure this volatility, the CBOE developed the Volatility Index (VIX). The original VIX specifically measured volatility based on the implied values of eight S&P 100 (OEX) options that, when combined, calculated this weighted index.. To create a tradable index, in 2003 the CBOE recalculated the VIX based on the S&P 500. The original VIX was renamed the VXO. In January 2001, the CBOE started providing intraday volatility data for options on the NASDAQ 100 (NDX). Originally created in 1995, this volatility index is called the VXN.

Interpreting the data: Readings of 40.00 or greater in the VIX, and 65.00 or greater in the VXN, are considered bearish for the market, and exteme readings often signal lows or bottoms. For example, the VXN had reached 90.00 at the beginning of the 2001, before the NASDAQ reversed its steep decline and rallied for a number of weeks. In rallying markets, a VIX below 20.00 and VXN below 40.00 are considered extremely bullish and may warn of an impending top. The S&P 100, for example, gave a VIX reading of 19.50 at the end of August 2000, signaling a top for the summer rally. The markets began a major decline on September 6th. In a sense, the VIX and VXN may be considered "leading" indicators, since extremes generally imply impending trend reversals.

根據VIX的定義，它就是未來兩個月S&P500的Option的Implied Volatility的一種加權平均。所謂Volatility就是股票波動的幅度。

Implied Vol就是根據Option的市場價格，帶回到Black-Scholes獲得諾貝爾獎的Option價格公式中反推回來的Volatility值。

這裏的Option既包括Call也包括Put。看上去好像VIX就應該是對稱的：股市向上升方向波動和向下降方向波動都應該等值地提升VIX的值。

但是Option的implied vol有一個特征你要記住，就是股票升的時候即便波動大，它也較低。股票降的時候即便波動小，它也很高。原因其實不難理解：股票升的時候忙著“止贏”的極少，多是空頭。股票降的時候忙著“止損”的極多，是市場的大多數。

看看曆史就知道，下跌時波動大，VIX升高更快。上升時波動大，VIX不升反降。

因此VIX又被稱為恐懼指數，就是這個道理。

VIX能否預測未來股市的走向？有些人認為可以，大部分人認為不能。VIX就是當前市場的恐懼程度，VIX經常跳空，有時候日中就會跳空。

有人買了一大筆S&P500的Call，就會使VIX走低。但是此人的意圖可不一定是看多。很有可能此人是要Short，為了對衝風險，特別買入大筆Call。

這裏的因果關係很複雜，決不可頭腦簡單。