名词解释：VXN/VIX

名词解释：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.

根据VIX的定义，它就是未来两个月S&P500的Option的Implied Volatility的一种加权平均。所谓Volatility就是股票波动的幅度。

Implied Vol就是根据Option的市场价格，带回到Black-Scholes获得诺贝尔奖的Option价格公式中反推回来的Volatility值。

这里的Option既包括Call也包括Put。看上去好像VIX就应该是对称的：股市向上升方向波动和向下降方向波动都应该等值地提升VIX的值。

但是Option的implied vol有一个特征你要记住，就是股票升的时候即便波动大，它也较低。股票降的时候即便波动小，它也很高。原因其实不难理解：股票升的时候忙着“止赢”的极少，多是空头。股票降的时候忙着“止损”的极多，是市场的大多数。

看看历史就知道，下跌时波动大，VIX升高更快。上升时波动大，VIX不升反降。

因此VIX又被称为恐惧指数，就是这个道理。

VIX能否预测未来股市的走向？有些人认为可以，大部分人认为不能。VIX就是当前市场的恐惧程度，VIX经常跳空，有时候日中就会跳空。

有人买了一大笔S&P500的Call，就会使VIX走低。但是此人的意图可不一定是看多。很有可能此人是要Short，为了对冲风险，特别买入大笔Call。

这里的因果关系很复杂，决不可头脑简单。