r*****t
发帖数: 712 | 1 4AM时候option还没开始交易呢，怎么vix指数就开始动了？ | p******e
发帖数: 17163 | 2 It's vix future. Just like other index futures. They move even when
stocks weren't trading. | p******e
发帖数: 17163 | 3 Plus, I don't think they calculate vix base solely on spy option.
Probably on s&p 500 future's options too | V******k
发帖数: 28 | 4 VIX is calculated using SPX options quotes, not trades data.
VIX started to release pre-open values since last month, since SPX options
quotes have been liquid enough, even for deep OTM options. Before then, VIX
starts the first tick at 9:31am (EST) everyday.
BTW, VIX futures trades almost 24 hours a day. VIX calculation is not based
on VIX futures, though they have some intrinsic no-arbitrage relationship. |
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