周一,观察到vix和大盘同时上涨的反常现象,许多股有不解。下面从理论上给出解释。
根据vix数值的计算公式定义,https://www.cboe.com/micro/vix/vixwhite.pdf ,计算实时vix数值,要求输入30天内所有的out of money(OM )call option的价格和put option的价格。这里要明确的一点是,计算实时vix数值时,vix的值不仅和put option的价格有关,和call option的价格也有关联。
当行情由底部开始上涨时,OM put的价格随着spy的价格上涨而下跌,相应计算出来的vix的数值不断的下跌。这就是我们经常观察到的规律。当spy有了一个客观的涨幅时,大部分OM put option的价格接近清零,对vix的贡献趋零,但是,另一方面,OM call的价格大幅上升,它们对vix的计算数值的贡献补赏了put option价格的下跌后还富富有余。这是相应的vix就开始由跌转升了。这就是我们周一观察到的spy和vix同时上涨的现象,即vix走势和大盘背离。
而vxx是vix近期期货的权重组和,它的实时走势跟随大盘,就像开盘后期指es走势跟随大盘关联一样。当vix走势和大盘背离时,自然vxx走势就和vix背离了。
下面给出近期spy option 链,5月18日到期的月期权 OM 275call OP有13万之多,随着spy从5月4日的264涨到周一的273,275 call对vix的贡献越来越大,最后抵消了OM put的减小,导致vix总体上涨。即vix走势和spx背离,二者同时上涨。
xx
SPY
|
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273.71
|
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273.72
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273.711
|
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0.861
|
|
0.32
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300X700
|
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273.73
|
|
273.3008
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3,451,515
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Mon May 14 2018 9:47:45 am ET|![https://invest.ameritrade.com/amer/images/icn_refreshBlue.gif](file:///C:/Users/yanli/AppData/Local/Temp/msohtmlclip1/01/clip_image001.gif)
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SPY May 14 2018
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0 Days to Expiration (Weeklys)
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Expand Collapse
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Calls ![Calculator](file:///C:/Users/yanli/AppData/Local/Temp/msohtmlclip1/01/clip_image003.gif)
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Bid
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Ask
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Last
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Change
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Vol
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Op Int
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272.5 Call![https://invest.ameritrade.com/amer/images/optionchain/btn_QuoteMenu_Up.gif](file:///C:/Users/yanli/AppData/Local/Temp/msohtmlclip1/01/clip_image005.jpg)
|
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1.33
|
|
1.38
|
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1.32
|
|
0.46
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|
815
|
|
3,199
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|
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273.0 Call![https://invest.ameritrade.com/amer/images/optionchain/btn_QuoteMenu_Up.gif](file:///C:/Users/yanli/AppData/Local/Temp/msohtmlclip1/01/clip_image005.jpg)
|
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0.93
|
|
0.96
|
|
0.94
|
|
0.37
|
|
2,369
|
|
4,911
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|
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273.5 Call![https://invest.ameritrade.com/amer/images/optionchain/btn_QuoteMenu_Up.gif](file:///C:/Users/yanli/AppData/Local/Temp/msohtmlclip1/01/clip_image005.jpg)
|
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0.59
|
|
0.60
|
|
0.59
|
|
0.23
|
|
4,800
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3,275
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274.0 Call![https://invest.ameritrade.com/amer/images/optionchain/btn_QuoteMenu_Up.gif](file:///C:/Users/yanli/AppData/Local/Temp/msohtmlclip1/01/clip_image005.jpg)
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0.35
|
|
0.36
|
|
0.35
|
|
0.14
|
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4,617
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6,773
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|
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274.5 Call![https://invest.ameritrade.com/amer/images/optionchain/btn_QuoteMenu_Up.gif](file:///C:/Users/yanli/AppData/Local/Temp/msohtmlclip1/01/clip_image005.jpg)
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0.18
|
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0.19
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|
0.19
|
|
0.07
|
|
3,401
|
|
2,611
|
|
|
275.0 Call![https://invest.ameritrade.com/amer/images/optionchain/btn_QuoteMenu_Up.gif](file:///C:/Users/yanli/AppData/Local/Temp/msohtmlclip1/01/clip_image005.jpg)
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0.08
|
|
0.09
|
|
0.09
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|
0.03
|
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1,599
|
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2,596
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|
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Strike
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272.50
|
273.00
|
273.50
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274.00
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274.50
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275.00
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Color indicates options that are in-the-money Indicates non-standard option
The in-the-money indication does not apply to non-standard options.
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SPY May 16 2018
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2 Days to Expiration (Weeklys)
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Expand Collapse
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Strike
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271.00
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272.00
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273.00
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274.00
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275.00
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276.00
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Color indicates options that are in-the-money Indicates non-standard option
The in-the-money indication does not apply to non-standard options.
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SPY May 18 2018
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4 Days to Expiration
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Expand Collapse
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Calls ![Calculator](file:///C:/Users/yanli/AppData/Local/Temp/msohtmlclip1/01/clip_image003.gif)
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Bid
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Ask
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Last
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Change
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Vol
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Op Int
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272.5 Call![https://invest.ameritrade.com/amer/images/optionchain/btn_QuoteMenu_Up.gif](file:///C:/Users/yanli/AppData/Local/Temp/msohtmlclip1/01/clip_image005.jpg)
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2.11
|
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2.15
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2.14
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0.44
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1,313
|
|
14,986
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|
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273.0 Call![https://invest.ameritrade.com/amer/images/optionchain/btn_QuoteMenu_Up.gif](file:///C:/Users/yanli/AppData/Local/Temp/msohtmlclip1/01/clip_image005.jpg)
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1.79
|
|
1.80
|
|
1.79
|
|
0.36
|
|
1,593
|
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34,645
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|
|
273.5 Call![https://invest.ameritrade.com/amer/images/optionchain/btn_QuoteMenu_Up.gif](file:///C:/Users/yanli/AppData/Local/Temp/msohtmlclip1/01/clip_image005.jpg)
|
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1.49
|
|
1.51
|
|
1.48
|
|
0.32
|
|
1,652
|
|
11,478
|
|
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274.0 Call![https://invest.ameritrade.com/amer/images/optionchain/btn_QuoteMenu_Up.gif](file:///C:/Users/yanli/AppData/Local/Temp/msohtmlclip1/01/clip_image005.jpg)
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1.22
|
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1.23
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1.23
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0.29
|
|
4,369
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|
74,843
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|
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274.5 Call![https://invest.ameritrade.com/amer/images/optionchain/btn_QuoteMenu_Up.gif](file:///C:/Users/yanli/AppData/Local/Temp/msohtmlclip1/01/clip_image005.jpg)
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0.98
|
|
0.99
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|
0.97
|
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0.23
|
|
1,164
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7,724
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|
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275.0 Call![https://invest.ameritrade.com/amer/images/optionchain/btn_QuoteMenu_Up.gif](file:///C:/Users/yanli/AppData/Local/Temp/msohtmlclip1/01/clip_image005.jpg)
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0.78
|
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0.79
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0.76
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0.17
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3,477
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130,912
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Strike
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272.50
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273.00
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273.50
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274.00
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274.50
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275.00
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Color indicates options that are in-the-money Indicates non-standard option
The in-the-money indication does not apply to non-standard options.
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