VIX是什么?(针对老师说的VIX的一点注释,由于不懂,本人无法对以下文章的观点作出评判.

范德伯尔斯

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<TD class=txt15Gray vAlign=top width="80%">VIX低讀數不值得擔憂<!--END: ARTICLE TITLE--></TD>
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<TD class=txt11Dark vAlign=top><!--START: DATE & REPORTER-->2006-11-15 04:40:14<BR><!--本報特派記者趙憶寧華盛頓報道--><!--END: DATE & REPORTER--></TD>
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<>　　【MarketWatch維吉尼亞州11月15日訊】衡量投資者擔憂情緒的一個廣泛使用的指標剛剛跌至非常低的水平。一些逆向分析者認為，這是非常不吉利的一個訊號。</P>
<>　　我卻不那麼肯定。</P>
<P>　　我所說的指標就芝加哥選擇權交易所(CBOE)的波動率指數(Volatility Index，VIX)。該指數每一天的讀數反映選擇權交易者對隨後30天內標普500指數波動程度的預期。</P>
<P>　　波動率指數目前跌至接近歷史低點的水平，週二收盤時為10.50。自1990年2月(該指數推出的時間)以來，波動率指數收盤水平比週二更低的交易日總共只有16個，也就是說，在波動率指數4200多個交易日的歷史上，比目前水平更低的時間只佔0.4%。</P>
<P>　　逆向分析者對波動率指數極低水平的擔憂在於：這意味著投資者基本上不擔憂或不害怕。由於市場很少按照大多數的意見走，因此這種普遍存在的滿足情緒一定意味著股市將要暴跌。</P>
<P>　　至少這是他們的觀點，但我並不贊同。</P>
<P>　　我的一些理由是實例性的。例如上週五，波動率指數收盤於極低的水平(10.79)，只是不像本週二那麼低。自1990年以來，波動率指數低於10.79的時間只佔1%，因此上週五的讀數也反映了市場普遍存在的滿足情緒。然而，這並不妨礙股市繼續強勁反彈，道指週二就再創歷史新高。 </P>
<P>　　但是，我質疑波動率指數作為一個市場時機判斷工具的理由不僅僅只是實例性的，正如我在以往專欄中討論過的，這種基於波動率指數極低讀數的逆向分析觀點，幾乎沒有得到統計數字的支持。與逆向分析者認為的不同，歷史上波動率指數的極低讀數之後，平均而言並沒有出現回報低於市場表現的情形。這從下面的數字中可以得到證明：</P>
<P>　　波動率指數最低的五分之一情形(&lt;= 13.14)：之後一個月標普500指數回報0.81%，之後一個季度標普500指數回報2.41%，之後六個月標普500指數回報5.28%，之後一年標普500指數回報12.45%； </P>
<P>　　波動率指數較低的五分之一情形(13.15-16.19)：之後一個月標普500指數回報0.60%，之後一個季度標普500指數回報2.50%，之後六個月標普500指數回報5.35%，之後一年標普500指數回報12.83%；</P>
<P>　　波動率指數中等的五分之一情形(16.20-19.75)：之後一個月標普500指數回報0.82%，之後一個季度標普500指數回報1.42%，之後六個月標普500指數回報3.79%，之後一年標普500指數回報11.49%；</P>
<P>　　波動率指數較高的五分之一情形(19.76-24.07)：之後一個月標普500指數回報0.34%，之後一個季度標普500指數回報1.19%，之後六個月標普500指數回報1.84%，之後一年標普500指數回報5.00%； </P>
<P>　　波動率指數最高的五分之一情形(&gt;24.07)：之後一個月標普500指數回報1.43%，之後一個季度標普500指數回報4.21%，之後六個月標普500指數回報6.87%，之後一年標普500指數回報9.53%。</P>
<P>　　可以看出，波動率指數出現極高讀數之後，股市回報的確高於平均水平，至少之後一個月、一個季度和六個月是這樣的。從這一點說，逆向分析對波動率指數的解釋也有一定的依據。但即使在這個方面，逆向分析者的觀點也不像最初看起來那麼站得住腳。</P>
<P>　　我之所以有這種看法是受了艾森斯塔特(Samuel Eisenstadt)的啟發。他是Value Line, Inc.(VALU)的研究部總監。艾森斯塔特幾年前指出，股市在跳水般的暴跌之後往往繼之以強勁反彈。順便說一句，技術分析師有時候把這種暴跌稱為投降式的觸底，但這個無需看波動率指數也知道。</P>
<P>　　因此，艾森斯塔特進行了一項統計上測試，看投降式觸底過程中，波動率指數的極高讀數除了恐慌性下跌這個事實以外是否包含著有規律的市場時機判斷的訊息。結果他兩手空空：波動率指數除了我們從隨便閱讀新聞中已經得知的東西外，不能告訴我們更多。</P>
<P>　　但是，就算波動率指數的高讀數確有一定的意義，它的低讀數真的無法傳達出什麼有用的訊息。</P>
<P>　　結論？無疑存在大量值得擔憂的因素，但波動率指數的低讀數並不是其中之一。</P></TD></TR></TBODY></TABLE>

henry

<FONT size=5>Market Volatility Index (VIX)</FONT>
<>The Market Volatility Index (VIX) is a measure of implied volatility in trading of S&amp 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'.
<P>The CBOE has a rather complex formula for averaging various options for the S&amp;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.
<P><FONT color=#ff0000>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 12 or 13. And even in the worst of panics, in 1998, VIX did not break much above 60. </FONT>
<P><FONT color=#ff0000>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 14 (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. </FONT></P>