Condor Options

Weekly Volatility Tracker: All That Glitters Is Volatile

Given how new those products are, I think it would be a bit hasty to draw such sweeping conclusions at this point. I don't trade VXX or VXZ since I have access to the CBOE volatility futures. But I disagree with your claim - evidence so far suggests that VXX does track its target range quite well.

Remember that the "real VIX" (if by that you mean the spot VIX) is just a statistic and is not directly tradable.

Weekly Volatility Tracker: Implied Correlation as a Reflation Proxy

For annualized realized volatility: calculate the standard deviation of log returns over the period required, multiplied by the square root of 252. This can be done easily in a spreadsheet.

Weekly Volatility Tracker: Implosion in S&P 500 Volatility

Thanks, Alex.

VIX tracks 30 (calendar) day implied volatility, and can be lagged and compared to the 21 (trading) day realized vol. There isn't a 60-day version; the 90-day implied index, VXV, is certainly worth watching, but I haven't added it to chart #5 since it might make things a bit too crowded. The ratio of VXV and VIX is tracked in chart #8, what I'm calling the "VIX Premium Ratio."

Why Do VIX Futures Remain High?

conceptwizard: By "that VIX level" are you referring to the spot VIX, or VIX futures? Of course spot VIX can change quickly, and I don't think anything in the post contradicts that fact. Long-dated VIX futures tend to change slowly.

On Jul 30 08:43 PM conceptwizard wrote:

> I'm not on board with this one. That Vix level can change drastically
> overnight with a bad breeze and will in my opinion.

Monday Equity Volatility Report

The implied volatility indexes covered here already serve precisely the function you describe. They state an annualized 30-day implied volatility (forward-looking) for the asset in question, within one standard deviation.

VXV, one of the components in my VIX Premium Ratio, tracks a similar three month estimate for the S&P 500.

VIX Premium Ratio Finally Perks Up

Alex, yes, today's realized vol corresponds to implied vol one month ago. So given today's realized vol, I want to know what the implied vol was one month ago, and that's what is reflected in the chart.


On Jun 11 03:39 AM Alex F. wrote:

> Either I'm having a brain fart or you are constructing the implied/realized
> volatility ratio incorrectly.
>
> Implied volatility is a measure of expected volatility over the next
> month.
>
> Realized volatility is a measure of realized volatility over the
> previous month.
>
> So today's realized volatility value corresponds to the implied volatility
> one month ago. Therefore, you should lag the realized volatility
> and not implied.