Below is the chart of the combined history MVX-VIXC vs VIX.
Canadian VIX - VIXC
Few weeks ago Montreal Exchange changed the methodology of its volatility index. The old index, MVX was constructed in the same way as the VXO - using implied volatility of ATM options, while the new index VIXC (Bloomberg symbol VIXC:IND) uses the same methodology as the VIX. Here is a presentation on the index construction. Unfortunately the old index was completely discontinued, while the new index has only one year of history. For my research purposes I combined the two, averaging closing values on the overlapping period. Exchange data here, and you can download the combined data here.
Below is the chart of the combined history MVX-VIXC vs VIX.
Below is the chart of the combined history MVX-VIXC vs VIX.
Subscribe to:
Post Comments (Atom)
Weekly market report
Wall st delivered a mixed bag of news with VIX, VNKY, and VSTOXX and their underlying markets almost unchanged. VXD - volatility index based...
-
As I am sure all of you know Russia has began a full scale war against my home country Ukraine. Please make no mistake - Putin's goal ...
-
Wall st delivered a mixed bag of news with VIX, VNKY, and VSTOXX and their underlying markets almost unchanged. VXD - volatility index based... -
Many investors are looking at VIX and VSTOXX indexes as a leading indicators of volatility in equity markets, however many are confused by t...
No comments:
Post a Comment