Sentences with phrase «spot volatility index»

In a previous post, we showed that the spot volatility index, VIX, has a strong mean reverting tendency.

In a previous post, we showed that the spot volatility index, VIX, has a strong mean reverting tendency.

Not exact matches

Specifically, they relate spot West Texas Intermediate (WTI) crude oil price to: the U.S. dollar exchange rate versus a basket of developed market currencies; Dow Jones Industrial Average (DJIA) return; U.S. short - term interest rate; the S&P 500 options - implied volatility index (VIX); and, open interest in the NYMEX crude oil futures (as an indication of financialization of the oil market).

They include as potential influencers three other precious metals futures, crude oil spot and futures, two commodity indexes, U.S. and world stock indexes, currency exchange rates, 10 - year U.S. Treasury note (T - note) yield, U.S. Federal Funds Rate (FFR), a volatility index (VIX) and U.S. and world consumer price indexes.

While the news media often focuses on the spot VIX Index, volatility traders analyze the price movements of VIX futures.

From this, it follows that the sensitivity to the spot VIX, namely the beta, has to be a critical factor in the design of volatility indices.