r*********n
发帖数: 177 | 1 青蛙还是不能理解这个short term future volatility | j****9
发帖数: 2295 | | L*****C
发帖数: 626 | | j*****5
发帖数: 5135 | | x****8
发帖数: 340 | 5 我也上当了. 已经被深埋了. 只有放在那里等下一个经济危机了. 吸取教训, 买东西之
前一定要研究研究再研究啊. | g*******s
发帖数: 2828 | 6 VXX is not derived from VIX (current month contract for volatility). it is
instead a mix of forward month 1 and 2 volatility future, and rolls a
portion every day.
up till a few days ago, while VIX has declined significantly, volatility for
out months stayed stubbornly high, likely as a result of investors still
demanding downside protection. the result is that Volatility term structure
(much like treasury yield curve) has become extremely steep vs. historical
norm.
so smart money started betting on that curve will flatten, culminated in a
trading call by GS on Monday. The curve has flattened signficantly over the
last 3 days. As VIX stayed relatively flat, that means out month volatility
declined signficantly. you can also see that out month puts/calls on S&P
dropped quite a bit despite minimal movement in S&P itself.
one silver lining for the bears could be that the market is finally getting
complacent -- the put holders are taking off downside protection for out
months. |
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