IVX

This article does not cite any sources. Please help improve this article by adding citations to reliable sources. Unsourced material may be challenged and removed. Find sources: "IVX" – news · newspapers · books · scholar · JSTOR (February 2009) (Learn how and when to remove this template message)

Lick five fingers Monitor

IVX is a volatility index providing an intraday, VIX-like measure for any of US securities and exchange traded instruments. IVX is the abbreviation of Implied Volatility Index and is a popular measure of the implied volatility of each individual stock. IVX represents the cost level of the options for a particular security and comparing to its historical levels one can see whether IVX is high or low and thus whether options are more expensive or cheaper. IVX values can be compared for the stocks within one industry to find names which significantly differ from what is observed in overall sector.

Specifications

IVX is an expected stock volatility over a future period. It is derived from current option prices and it is available for any optionable security

To calculate this index they use a proprietary weighting technique factoring the Delta and Vega of each option participating in its calculations. In total, 8 ATM options (4 calls and 4 puts) are used within each expiration to calculate the Call, Put and Mean Implied Volatility of each stock. This IV Index is normalized to fixed tenors (30, 60, 90, 120, 150, 180, 360, 720 days) using a linear interpolation by the variance (IV^2t)

IVX and VIX have similar nature, despite some diversities in the methodology and calculation. VIX (introduced by CBOE in 2003) is counted as an option price's weighted average, using all available range of strikes, thus it is independent of the model used to derive implied volatilities. This technique works with a thick grid of actively traded strikes (i.e. S&P 500 and other indices), but not for the majority of optionable stocks. IVX allows calculating this measure for each individual stock, not just for the market in general.

Interpretation

IVX is calculated in the following way: (an example based on "IVX Call 30") suppose today is 04/05/2004, and there are 12 days till front month (April) expiry – and 47 days till next month expiry (May). Options with these two expiries will be used for IV Index calculation of term 30 – as they are 2 expiries closest to 30-day virtual expiration.

First, 4 April Call options contracts with strikes nearest to current stock price (spot) are selected – they are used to calculate IV Index for April. "IVX Call April" is their weighted average, where weighting is by Vega (option price sensitivity to a change in implied volatility). Some of these options, however, can be considered "bad" and filtered out of further calculations. For example, options with expiry less than 1 week from now are always discarded. The other check is that so-called put–call parity relation should not vary significantly. This means that implied volatility values of Call and Put option in the pair are sufficiently close. Briefly, the filtering algorithm tries to eliminate suspicious option contract to make sure that the resulting IV Index figure is relevant.

In the very same way, the IV Index for May expiry is calculated, "IVX May". Now, interpolation is performed between these two values to get "IVX Call 30"; interpolation is linear by variance, that is,

${\displaystyle {\text{IVX Call}}(30)={\frac {{\text{IVX Call April}}+({\sqrt {30}}-{\sqrt {12}})\ast ({\text{IVX Call May}}-{\text{IVX Call April}})}{{\sqrt {47}}-{\sqrt {12}}}}}$

This particular interpolation is commonly used when dealing with volatilities.

History

Implied Volatility Index was introduced in 1998 and it is a registered trade mark of IVolatility.com.

• 1998 – Implied Volatility Index measure was introduced for 30 day term for US equity markets
• 2000 – Additional IV Index terms were added: 60, 90, 120, 150, 180, 360, 720
• 2002 – Coverage of IV Index is expanded to European Markets
• 2003 – 방법론 개정: 시간의 제곱근에 의한 원래 시간 보간법을 분산에 의한 보다 정확한 보간으로 대체한다.
• 2004 – 방법론 개정: 콜 풋 패리티에 의한 추가 필터링 추가
• 2005 – IV지수 적용범위는 미국의 미래 시장으로 확대된다: 지수 선물, 농업, 금속, FX 등.
• 2006 – IV 지수는 미국 주식 시장에 하루 만에 제공됨
• 2007 – IV 지수가 'IVX' 상표로 등록됨
• 2008 – IVX는 미국 선물 시장에서 사전 판매 가능

비판

주식의 평균 암묵적 변동성을 나타내는 우수한 척도지만, 거래량이 없고 가격 스프레드가 큰 주식의 경우 IVX를 계산할 수 없는 경우도 있다. 이는 어떤 옵션 모델도 가격이 신뢰할 수 없는 옵션을 사용하여 양호한 변동성 측정치를 산출하지 못하기 때문이다.

과거에는 IVX의 이용가능성에 대해 일상적인 조치로서만 언급했지만, 이는 지난 몇 년 사이에 바뀌었고, 현재는 IVX를 상시적으로 이용할 수 있다.

참고 항목

• 빅스
• 묵시적 변동성

외부 링크

• 타티아나 로조바아, 헬렌 히즈니아코바 "무역 지분 옵션으로 돈을 벌기 위해 현대 포트폴리오를 확장하는 방법"(작업용지)