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volatility index


skolski

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Hi 

Can anyone advise me why the volatility index (1 GBP contract)  index doesn't exactly match the VIX, although movements correlate its several points higher on IG than VIX? 

VIX  = 17.68

Volatility index (1 GBP) = 20.46

Cheers

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It could be that IG's Volatility offering is a "spot" price made up of a combination of the nearest two months VIX futures contracts which are both currently trading at a premium to the "cash" market. Note that spot products can be subject to a daily adjustment, usually a charge if in "contango" (later futures price higher than nearer month, partly to account for the interest you would earn on the money not required as margin as compared not earned if you had to buy the spot product outright paying in full) but sometimes it can be a credit if the market is in "backwardation", i.e. the later month trades lower in expectation of more supply (for commodities) or in the case of the VIX more calmness after a spike. 

Why the actual construction of the product isn't clarified  in the "Info" tab on the order ticket is a mystery.

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6 hours ago, skolski said:

Hi 

Can anyone advise me why the volatility index (1 GBP contract)  index doesn't exactly match the VIX, although movements correlate its several points higher on IG than VIX? 

VIX  = 17.68

Volatility index (1 GBP) = 20.46

Cheers

time lag in all index though are you factoring in the spread also.

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