03 July 2009


It's the CBOE S&P 500 Three-Month Volatility Index. It is from the same family as VIX, but whereas the VIX looks at the implied volatilities of SP500 options of 30 days duration (according to a formula), the VXV looks at the three month picture.

Bill Luby of Vix & More has a good article in Barrons that details how we can use it:

As a result of its elevated profile, the VIX is now followed by a wider variety of investors than at any time in the history of the index. But while the VIX is an important tool, investors -- including those who do not trade options -- would be well-served to look past the VIX for a more nuanced understanding of volatility and its implications for their portfolios.

A case in point is the little-known VXV, whose formal name is the CBOE S&P 500 Three-Month Volatility Index. The VIX calculates implied volatility in S&P 500 index options for merely the next 30 days, but VXV uses a 93-day time window. The different time horizons have some important implications.

You can read the rest of the article HERE.


Dean said...

Hi Sigma Options
Great site.
Do you invest in US options and/ or Australian?
I liked your post on Covered Calls and Naked Puts. It's funny, I just asked a hedge fund manager to justify how he viewed them so differently.

Anyway, I'm based in Melbourne and invest in the US and Australia. I only trade options in the US, as the liquidity here was too frustrating for me. I started trading USD:AUD last year to "hedge" or "profit" from my US equity exposure.

I look forward to reading more.
cheers - Dean

Wayne said...

Thanks Dean,

I trade US options and some UK options. I found the liquidity crap when I was in Aus too, spreads too wide and commissions too expensive. That's changed a little bit now, but the US market is of course the best to trade.

I live in London now, so don't have to do the red-eye shift. :)


Dean said...

Hi Wayne
Check out Rasa W1 if you haven't already. It used to be a fantastic Indian restaurant. I lived in Cambridge and worked around London from 1999-2004. It was a great time zone to be in for investing in the US.

I'm starting a blog carnival for Australian Investing Blogs, as you're London based you're probably not interested, but if you are drop me an email/comment via my site.

Wayne said...

I'll be sure to check that one out Dean, thanks.


BTW Loved the Bertrand Russell quote at the bottom of your site.

"The whole problem with the world is that fools and fanatics are always so certain of themselves, and wiser people so full of doubts."

So true.