The CBOE publishes something called the VVIX . It takes the CBOE Market Volatility Index methodology and applies it options on the VIX itself.
http://www.schaeffersresearch.com/commentary/content/blogs/more+breaking+news+on+the+volatility+front/trading_floor_blog.aspx?single=true&blogid=115698&c=tfbfeed
http://www.schaeffersresearch.com/commentary/content/blogs/more+breaking+news+on+the+volatility+front/trading_floor_blog.aspx?single=true&blogid=115698&c=tfbfeed
No comments:
Post a Comment