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Popular Content

Showing content with the highest reputation on 03/16/2021 in Posts

  1. 1 point
    Djtux
    The IV30 is coming from my data provider, and is using the old VIX style calculation. For the new VIX, it's using SPX options and it uses a different approach (variance swap using the option prices directly instead of BS IV) so that the VIX is model independent. Some references : https://quant.stackexchange.com/questions/25157/how-was-the-old-vix-calculated http://www.risklab.es/es/seminarios/pasados/mayo2004-1.pdf
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