Jump to content

"Volatility Index"


Recommended Posts

7 hours ago, StormChaser said:

What market does this DFB product track and where in the IG documentation is that information given.  It comes up in a search for VIX but the price does not match the VIX price.

Hi @StormChaser,
You can find information about the VIX on this IG page: https://www.ig.com/uk/indices/what-is-vix-how-do-you-trade-it

The VIX is a real-time volatility index, created by the Chicago Board Options Exchange (CBOE). It was the first benchmark to quantify market expectations of volatility. But the index is forward looking, which means that it only shows the implied volatility of the S&P 500 (SPX) for the next 30 days.

I hope that it helps!

All the best - Arvin

Link to comment

I don't think @ArvinIG answered @StormChaser's question at all!

The CBOE index referenced by Arvin is not directly tradeable on any platform, it's purely a data feed.  

Volatility is traded via volatility futures, either directly on the CBOE or indirectly via a platform like IG. Futures have expiry dates in the future, consequently they are each going to express a different volatility level than the index (usually higher as one goes out in time as longer time frames have greater uncertainty). 

In the case of IG, if you search for Volatility Index on the platform you should see the DFB plus the two near-month futures that are tradeable (Oct 21 and Nov 21 as of this note). The future products should closely track the respective CBOE VIX futures market.

The Volatility Index DFB is created by IG and is interpolated from the price of the two near month futures contracts. There's an article somewhere in IG docs on how this calculation is performed; maybe check under the commodities section, but I can't recall exactly where it is.

With the above said, the comment that "the prices don't match" really isn't a useful statement given that the index and each published future for VIX will all have a different level at any point in time. You need to be very clear about which two instruments you are comparing to each other.

Additionally, you really need to understand futures 'roll' and the DFB calculation so that you understand the overnight holding charges you are going to incur or receive. In the case of Volatility trading, these are a significant contributor to the return that any strategy that holds a position overnight.  

 

 

 

 

 

Link to comment

Create an account or sign in to comment

You need to be a member in order to leave a comment

Create an account

Sign up for a new account in our community. It's easy!

Register a new account

Sign in

Already have an account? Sign in here.

Sign In Now
  • image.png

  • Posts

    • Yeah! I think I would have to agree with you on this as I have benefited a lot from the event this recent times & I have plans of leveraging the event for a long time.
    • Join the BYDFi Demo Trade Profit Posting and grab your chance to share in a 10,000 USDT prize pool!  Show off your trading skills, post your profits, and let's see who comes out on top! Don't miss out on this chance to win big! 🎉
    • The #meme hype surrounding #Solana may have slowed down with the emergence of the Ton network, but it seems that the enthusiasm for Solana is not fading away entirely. While new networks like Ton are gaining attention, Solana has previously generated significant interest and wealth for investors. However, there are concerns about scammers exploiting the Solana network with various honeypot and rugpull schemes, leading some traders to explore other chains like Base and Ton. Despite the rise of Ton blockchain, a new Solana meme project associated with Pepe the Frog has started to gain traction. One such project, LandWolf, has already amassed over 5,000 active Telegram members and 5,000 Twitter followers, indicating early interest and community engagement. The project aims to unite Pepe fans with the broader crypto community, offering a unique value proposition. LandWolf's ability to secure listings on top-tier exchanges like Bitget showcases the developer's influence and the project's potential. Some enthusiasts have already dubbed $WOLF as the biggest meme coin on Solana, highlighting the ongoing interest and excitement within the Solana ecosystem.
×
×
  • Create New...
us