Bagzi, u marketu ne možeš ništa ZNATI,možeš samo PRETPOSTAVITI sa većom ili manjom vjerojatnošću da će se ispuniti.Ako je prisutan strah u marketu dolazi do povećanog hedganja ili pak rasprodaje kaj podiže volatilnost.Ako si pratio vix možda si primijetio da padom vixa ili straha cijene uglavnom rastu i obrnuto,dok su padovi uobičajeno snažniji od porasta cijena.To bi bilo samo ugrubo i ukratko.Nema generalnog pravila samo treba malo razmišljati.
06.06.2006. (15:05)
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@Felix: volatility se nesumljivo povecao sto se moze vidjeti "golim okom" na grafovima zadnjih dana kao i na VIXu, a uz to o tome svi pricaju na TV i pisu po novinama. Na kraju je i Contreso objavio unos o Volatilityu jer mu je Krejmer posvetio prvi dio emisije.. Ne ocekujem nista SIGURNO nego pisem da se NADAM da ce se nastaviti (a sudeci po jutrarnjih novih -80 pta izgleda da hoce). Meni, naravno odgovara zbog spreadova! Hvala na odgovoru Bagziju, evo samo jos malo detalja sa Neta: @Bagzi: Stocks - Market Volatility Index (VIX)
The Market Volatility Index (VIX) is a measure of implied volatility in trading of S&P 100 futures (specifically the OEX futures contract) on The Chicago Board Options Exchange. The index is calculated based on the prices of 8 calls and puts on the OEX that expire in approximately 30 days. Values for VIX tend to be between 5 and 100.
So what is 'implied volatility'? To understand this, first consider the factors that go into the pricing of options. One of them is 'volatility'. It's simply the extent to which the price of something has changed over a year, measured as a percentage. An option on a more volatile stock or future will be more expensive. But options are just like any other asset, and are priced based on the law of supply and demand. If there is an excess of supply compared to demand, the price will drop. Conversely, if there is an excess of demand, the price rises. Since all the other parameters of the option price are predictable or measurable, the piece that relates to demand can be isolated. It's called the 'implied volatility'. Any excess or deficit of demand would suggest that people have a difference in expectation of the future price of the underlying asset. In other words, the future or 'expected volatility' will tend to be different from the 'historic volatility'.
The CBOE has a rather complex formula for averaging various options for the S&P 100 futures to get a hypothetical, normalized, 'ideal' option. The volatility component can be isolated from the the price of this ideal option. That's VIX. Although both 'put' and 'call' options are included in the calculation, it is the 'put' options that lead to most of the excess demand that VIX measures.
The VIX is said to to measure market sentiment (or, more interestingly, to indicate the level of anxiety or complacency of the market). It does this by measuring how much people are willing to pay to buy options on the OEX, typically 'put' options which are a bet that the market will decline. When everything is wonderful in the world, nobody wants to buy put insurance, so VIX has a low value. But when it looks like the sky is falling, everybody wants insurance in spades and VIX heads for the moon. Practically, even in the most idyllic of times, VIX may not get below 11 or 13. And even in the worst of panics, in 1998, VIX did not break much above 60.
Many view the VIX as a contrarian indicator. High VIX values such as 40 (reached when the stock market is way down) can represent irrational fear and can indicate that the market may be getting ready to turn back up. Low VIX values such as 12 (reached when the market is way up) can represent complacency or 'irrational exuberance' and can indicate the the market is at risk of topping out and due for a fair amount of profit taking. There's no guarantee on any of this and VIX is not necessarily by itself a leading indicator of market action, but is certainly an interesting indicator to help you get a sense of where the market is. *** nisam bas sve procitao u detalje ali izgleda OK za pocetak.. Imacemo mozda detaljniji unos o VIXu ove jeseni! Pozdrav svima, hvala na pracenju!
06.06.2006. (17:48)
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bagzi
Hvala vam obojici. U ofsajdu sam ovih dana, javiću se kasnije, imam neka pitanja. Pozdrav
07.06.2006. (20:41)
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Web Testing options !
Da pogotovo za EBAY i YHOO čijem jučerašnjem padu je prethodio bearish engulfing...Po čemu osim po visokom vixu očekuješ veći volatility?
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bagzi
Ja nisam znao ni da po visokom VIXu možeš znati da će biti povećani volatility. Visoki VIX - prisustvo straha u marketu, ne? Objasni malo ako može
06.06.2006. (14:18) - - - - - promjene spremljene- uredi komentar - obriši komentar - prijavi ovaj komentar kao spam - zabrani komentiranje autoru ovog komentara- učitavam...
Web Testing options !
Bagzi, u marketu ne možeš ništa ZNATI,možeš samo PRETPOSTAVITI sa većom ili manjom vjerojatnošću da će se ispuniti.Ako je prisutan strah u marketu dolazi do povećanog hedganja ili pak rasprodaje kaj podiže volatilnost.Ako si pratio vix možda si primijetio da padom vixa ili straha cijene uglavnom rastu i obrnuto,dok su padovi uobičajeno snažniji od porasta cijena.To bi bilo samo ugrubo i ukratko.Nema generalnog pravila samo treba malo razmišljati.
06.06.2006. (15:05) - - - - - promjene spremljene- uredi komentar - obriši komentar - prijavi ovaj komentar kao spam - zabrani komentiranje autoru ovog komentara- učitavam...
Optionmaster
@Felix: volatility se nesumljivo povecao sto se moze vidjeti "golim okom" na grafovima zadnjih dana kao i na VIXu, a uz to o tome svi pricaju na TV i pisu po novinama. Na kraju je i Contreso objavio unos o Volatilityu jer mu je Krejmer posvetio prvi dio emisije.. Ne ocekujem nista SIGURNO nego pisem da se NADAM da ce se nastaviti (a sudeci po jutrarnjih novih -80 pta izgleda da hoce). Meni, naravno odgovara zbog spreadova! Hvala na odgovoru Bagziju, evo samo jos malo detalja sa Neta:
@Bagzi: Stocks - Market Volatility Index (VIX)
The Market Volatility Index (VIX) is a measure of implied volatility in trading of S&P 100 futures (specifically the OEX futures contract) on The Chicago Board Options Exchange. The index is calculated based on the prices of 8 calls and puts on the OEX that expire in approximately 30 days. Values for VIX tend to be between 5 and 100.
So what is 'implied volatility'? To understand this, first consider the factors that go into the pricing of options. One of them is 'volatility'. It's simply the extent to which the price of something has changed over a year, measured as a percentage. An option on a more volatile stock or future will be more expensive. But options are just like any other asset, and are priced based on the law of supply and demand. If there is an excess of supply compared to demand, the price will drop. Conversely, if there is an excess of demand, the price rises. Since all the other parameters of the option price are predictable or measurable, the piece that relates to demand can be isolated. It's called the 'implied volatility'. Any excess or deficit of demand would suggest that people have a difference in expectation of the future price of the underlying asset. In other words, the future or 'expected volatility' will tend to be different from the 'historic volatility'.
The CBOE has a rather complex formula for averaging various options for the S&P 100 futures to get a hypothetical, normalized, 'ideal' option. The volatility component can be isolated from the the price of this ideal option. That's VIX. Although both 'put' and 'call' options are included in the calculation, it is the 'put' options that lead to most of the excess demand that VIX measures.
The VIX is said to to measure market sentiment (or, more interestingly, to indicate the level of anxiety or complacency of the market). It does this by measuring how much people are willing to pay to buy options on the OEX, typically 'put' options which are a bet that the market will decline. When everything is wonderful in the world, nobody wants to buy put insurance, so VIX has a low value. But when it looks like the sky is falling, everybody wants insurance in spades and VIX heads for the moon. Practically, even in the most idyllic of times, VIX may not get below 11 or 13. And even in the worst of panics, in 1998, VIX did not break much above 60.
Many view the VIX as a contrarian indicator. High VIX values such as 40 (reached when the stock market is way down) can represent irrational fear and can indicate that the market may be getting ready to turn back up. Low VIX values such as 12 (reached when the market is way up) can represent complacency or 'irrational exuberance' and can indicate the the market is at risk of topping out and due for a fair amount of profit taking. There's no guarantee on any of this and VIX is not necessarily by itself a leading indicator of market action, but is certainly an interesting indicator to help you get a sense of where the market is. *** nisam bas sve procitao u detalje ali izgleda OK za pocetak.. Imacemo mozda detaljniji unos o VIXu ove jeseni! Pozdrav svima, hvala na pracenju!
06.06.2006. (17:48) - - - - - promjene spremljene- uredi komentar - obriši komentar - prijavi ovaj komentar kao spam - zabrani komentiranje autoru ovog komentara- učitavam...
bagzi
Hvala vam obojici. U ofsajdu sam ovih dana, javiću se kasnije, imam neka pitanja. Pozdrav
07.06.2006. (20:41) - - - - - promjene spremljene- uredi komentar - obriši komentar - prijavi ovaj komentar kao spam - zabrani komentiranje autoru ovog komentara- učitavam...