Our data sources consist of daily close of India VIX
retrieved from the National Stock Exchange of India (NSE) website.
Like the VIX
Index, VXST is calculated using CBOE's proprietary VIX
methodology, but whereas VIX
is calculated using SPX monthly options, VXST is calculated using S&P 500 options that expire every Friday, including CBOE's highly successful SPXW options.
Whatever it was, the temporary disruption in trading followed a day when other traders were noting the VIX
was not moving as expected.
Volatility and the VIX
Index rise with uncertainty and a lower probability of an outcome.
Specifically, we investigate whether the VIX
has a direct and systematic effect on equity returns by increasing or decreasing the returns of the systematically priced factors included in the Fama and French (1993) model augmented with a momentum factor (Carhart, 1997).
If there is broad consensus in the market that there will be higher risk or more volatility ahead, the prices of those options will rise and so will the VIX
Trading was brisk in VIX
options, which are priced off of VIX
Standard & Poor's([R])", "S&P 500[R]", "S&P([R])", "S&P 500[R] Total Return", "S&P 500 VIX
Short-Term Futures[TM]" and "S&P 500 VIX
Mid-Term Futures[TM]" are trademarks of Standard & Poor's Financial Services, LLC ("S&P") and Dow Jones([R]) is a registered trademark of Dow Jones Trademark Holdings LLC ("Dow Jones").
Chicago time) close of VIX
futures, the market will reopen for a new trading period from 3:30 p.
Essentially, the VIX
measures how volatile stocks in the S&P 500 are expected to be over the next thirty days.
In addition to options on the two iPath VIX
Futures ETNs, NYSE Amex is also listing options on the iPath Goldman Sachs Crude Oil Total Return Index ETN (OIL) and NYSE Arca will be trading options in six other ETNs.
NEW YORK -- Barclays Bank PLC announced today that it will implement a 1 for 4 reverse split of its iPath([R]) S&P 500 VIX
Short-Term Futures(TM) Exchange Traded Notes (the "ETNs") effective Thursday, October 5, 2012.