Comment on Greek Interactions

Karthik Rangappa commented on 17 Dec 2017, 01:14 PM

Vix average need not be same as avg volatility of volatility cone, but it should be close enough.
Calculation for vix is different from volatility cone. Volatility cone uses spot data, ViX uses IV of near month and next month options, so they need not match.

The mathematical reason for why highest value vix is higher than 2 sd, but lowest value is not below -2 sd is that the Volatility cone assumes a normal distribution for nifty, which is only an approximation. Think of it, volatility can never be zero or negative, whereas it has no upper limit. This is not the case with the normal distribution, it will swing on both sides with equal chance. That’s the reason for this pattern.

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