The Peculiar Option-like Response of the Volatility of the VIX Index

by Graham Giller May 18, 2010 10:44

To complement what we've just learned about the asymmetry in the VOLVIX process, here's a quick chart illustrating the peculiar option-like response of VOLVIX to changes in VIX itself.

Asymmetry in VOLVIX Response

This chart was computed from data as of the close, 05/17/2010.

 

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About the Author

Graham Giller - Headshot GRAHAM GILLER
Dr. Giller holds a doctorate from Oxford University in experimental elementary particle physics. His field of research was statistical astronomy using high energy cosmic rays. After leaving Oxford, he worked in the Process Driven Trading Group at Morgan Stanley, as a strategy researcher and portfolio manager. He then ran a CTA/CPO firm which concentrated on trading eurodollar futures using statistical models. From 2004, he has managed a private family investment office. In 2009, he joined a California based hedge fund startup, concentrating on high frequency alpha and volatility forecasting. My updated resume is on LinkedIn.

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