论波动率的波动性
On the volatility of volatility
摘要：
芝加哥期权交易所（CBOE）波动率指数（VIX）是根据标准普尔500指数（SPX）的价外看跌期权和看涨期权的价格计算的。波动率指数有时被称为“投资者恐惧指标”，是衡量SPX隐含波动率的指标，并被观察到与SPX的30天已实现波动率相关。波动率指数的变化与标准普尔指数的变化呈负相关。然而，没有观察到波动率指数的变化和SPX的30天已实现波动率的变化之间的显着相关性。我们调查这是否表明一个错误定价的期权波动率指数大的动作，并检查方差互换的超额收益的关系。
英文摘要：
The Chicago Board Options Exchange (CBOE) Volatility Index, VIX, is calculated based on prices of out-of-the-money put and call options on the S&P 500 index (SPX). Sometimes called the "investor fear gauge," the VIX is a measure of the implied volatility of the SPX, and is observed to be correlated with the 30-day realized volatility of the SPX. Changes in the VIX are observed to be negatively correlated with changes in the SPX. However, no significant correlation between changes in the VIX and changes in the 30-day realized volatility of the SPX are observed. We investigate whether this indicates a mispricing of options following large VIX moves, and examine the relation to excess returns from variance swaps.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
