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Volatility Spreads
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Pricing | Tradewell
VIX-HRV
The spread between the VIX Index and the historical realized volatility for the S&P 500. The spread indicates the "volatility risk premium or discount" aka the cost of options in implied volatility compared to historical realized volatility of the underlying asset.
VIX-MAD
The spread between the VIX Index and the Mean Average Deviation for the S&P 500. Similar to the VIX-HRV spread, this spread is used to indicate the "Volatility risk premium or discount" aka the cost of options in implied volatility compared to the Mean Average Deviation (MAD) of the underlying asset
VIX-SRV
The spread between the VIX Index and the subsequent realized volatility for the S&P 500. This spread indicates whether selling options was profitable relative to the subsequent realized volatility that occurred over the following 21 trading days.
VIX-VXM
Spread between the 3m VIX index and the 6m VIX index. This metric is a measurement of the contango or backwardation of the term structure of short dated compared to medium dated volatility indices.
VIX-VXV
Spread between the 1m VIX index and the 3m VIX index. This metric is a measurement of the contango or backwardation of the term structure of short dated volatility indices.
VIX-VXST
Spread between the 1m VIX index and the 9d VIX index. This metric is a measurement of the contango or backwardation of the term structure of short dated volatility indices.
VIX-YangZhang
The spread between the VIX Index and the Yang-Zhang volatility estimator for the S&P 500. The spread indicates the "volatility risk premium or discount" aka the cost of options in implied volatility compared to historical realized volatility of the underlying asset. Yang-Zhang is used in order to capture more price data (ie. intraday data) than a typical close to close volatility estimator.