Sentences with phrase «spx implied volatility»

SPX implied volatility at 80 % and 90 % moneyness generally has been much higher than at 100 % moneyness — this reflects the fact that there often is big demand for out - of - the - money SPX puts to be used for portfolio protection.

While the early - 2017 Federal Reserve minutes «expressed concern [about] the low level of implied volatility in equity markets,» it is worth noting that the SPX implied volatility levels at both 80 % and 90 % moneyness (corresponding with out - of - the - money puts used for portfolio protection) generally were much higher than the VIX levels.

Not exact matches

www.cboe.com/SKEW Implied volatility for O - T - M SPX puts (used for portfolio protection) generally recently has been much higher than implied vol for A-T-M SPX oImplied volatility for O - T - M SPX puts (used for portfolio protection) generally recently has been much higher than implied vol for A-T-M SPX oimplied vol for A-T-M SPX options.

daily closing levels were 12.6 for VIX Index, and 10.0 for the 30 - trading - day implied volatility of at - the - money SPX options.

The VIX measures the implied volatility of the options on the ticker SPX (which tracks the S&P 500).