p*e
2 楼
It's vix future. Just like other index futures. They move even when
stocks weren't trading.
stocks weren't trading.
p*e
3 楼
Plus, I don't think they calculate vix base solely on spy option.
Probably on s&p 500 future's options too
Probably on s&p 500 future's options too
V*k
4 楼
VIX is calculated using SPX options quotes, not trades data.
VIX started to release pre-open values since last month, since SPX options
quotes have been liquid enough, even for deep OTM options. Before then, VIX
starts the first tick at 9:31am (EST) everyday.
BTW, VIX futures trades almost 24 hours a day. VIX calculation is not based
on VIX futures, though they have some intrinsic no-arbitrage relationship.
VIX started to release pre-open values since last month, since SPX options
quotes have been liquid enough, even for deep OTM options. Before then, VIX
starts the first tick at 9:31am (EST) everyday.
BTW, VIX futures trades almost 24 hours a day. VIX calculation is not based
on VIX futures, though they have some intrinsic no-arbitrage relationship.
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