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Strategies & Market Trends : Booms, Busts, and Recoveries
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To: smolejv@gmx.net who wrote (4788)6/11/2001 4:49:40 PM
From: LLCF  Read Replies (1) of 74559
 
<Reads like "duration of the air pressure": VDAX is the German volatility index, reflecting current / Present / "as-of-right-now" volatility. Same applies (to the best of my knowledge) to VIX.>

No, actually it reads like "duration of fixed income portfolio". Saying the VIX is 30% is like saying interest rates are 6%. Which interest rates?? That begs the question "which volatility". If you call up the implied vol in the options on the S&P 500 you'll get a "curve" essentially the same as the interest rate curve on treasuries say. Here is the CBOE page:

cboe.com

Note:

<This index is calculated by taking a weighted average of the implied volatilities of eight OEX calls and puts. The chosen options have an average time to maturity of 30 days. Consequently, the VIX is intended to indicate the implied volatility of 30-day index options.>

Average maturity is a definition of "duration" in the bond world. In fact the vol curve is traded exactly like the i rate curve in bond land, together in a portfolio in fact. So VIX is essentially a 30 day spot vol of blended strikes [I don't know what the average skew is]... LEAPS, if I'm not mistaken are more like 1 year vol. So, in bond terms your comparing a 30 day T-Bill to the one year note.

I think Commerze Bank put together the VDAX, you may go to their web site.

DAK
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