tag:blogger.com,1999:blog-1657016149747589.post1667738718590884401..comments2023-11-05T14:27:25.492+05:30Comments on Elliott Wave India - Taking technical analysis to next level: What is wrong with India VIX? Understanding Nifty pattern!--- Ashish Kyal, CMThttp://www.blogger.com/profile/01704534951899649179noreply@blogger.comBlogger1125tag:blogger.com,1999:blog-1657016149747589.post-58250513935920036682014-04-21T20:04:28.648+05:302014-04-21T20:04:28.648+05:30Hi...Vix is calculated as a function of the averag...Hi...Vix is calculated as a function of the average of the buy and sell option quotes of the nearest 3 months. Hence as of today, it is calculated by using the buy and sell quotes of option prices of April, may and June 2014. Implied volatility of option prices of may and June have been high from the day they started trading for obvious reasons. (on the contrary option volatilities of april are one of the lowest ever seen.) The spike in the vix is simply due to its method of calculation and has nothing to do with the launch of Vix futures nor the rally of the past 2 months. This same phenomenon was observed prior to the may 2009 elections though there were no vix futures or even the indiavix at that time.(i think indiavix was launched just a couple of months later.) After the current expiry the Indiavix will spike even further due to absorption of July option prices in its calculation. Its simply the effect of the coming event. <br /> To put it in the words of an option specialist, you are not likely to gain any Theta from shorting options till the 16th of may. <br /><br /> Vimal Mehtahttps://www.blogger.com/profile/13666505521065712581noreply@blogger.com