http://www.theoptionsinsider.com/tradingtechnology/?id=5828 S&P 500 Index Implied Volatility (IVXM) Since our last review two weeks ago, the Implied Volatility Index Mean declined from 19.13 to 18.01, while the VIX declined from 21.20 to 20.61. The table below shows the VIX Cash compared to the next two futures contracts as well as our calculation of the day-weighted average between the first and second months. For this short-term indicator the premium to the cash is a SPX sell signal indicating professional hedging activity and the expectation that the cash will rise back toward the futures price. Last week, the reading was 10.13%, compared to 7.31% in our market review two weeks ago and just before the SPX broke out to the upside. This lower weighted premium level supports the view that the current correction from the breakout high will be limited. Read more: http://www.theoptionsinsider.com/tradingtechnology/?id=5828#ixzz16cNEGJxh The Options Insider: Your Inside Source For Options Information
vix future premium level (图)
回答: a market maker:go into the futures market to hedge their short c
由 marketreflections
于 2010-11-28 09:05:18
http://www.theoptionsinsider.com/tradingtechnology/?id=5828 S&P 500 Index Implied Volatility (IVXM) Since our last review two weeks ago, the Implied Volatility Index Mean declined from 19.13 to 18.01, while the VIX declined from 21.20 to 20.61. The table below shows the VIX Cash compared to the next two futures contracts as well as our calculation of the day-weighted average between the first and second months. For this short-term indicator the premium to the cash is a SPX sell signal indicating professional hedging activity and the expectation that the cash will rise back toward the futures price. Last week, the reading was 10.13%, compared to 7.31% in our market review two weeks ago and just before the SPX broke out to the upside. This lower weighted premium level supports the view that the current correction from the breakout high will be limited. Read more: http://www.theoptionsinsider.com/tradingtechnology/?id=5828#ixzz16cNEGJxh The Options Insider: Your Inside Source For Options Information