D******4
发帖数: 47 | 1 读了VIX的白皮书，得到了spot VIX. 但是在算forward VIX有个疑问。比如算八月的
forward VIX,当八月份SPX option到期时，VIX 是根据九月和十月的SPX option价格计
算的(九月的权重基本为一)。那么，在现在这个时刻，计算forward vix，也应该是用
九月和十月的option 价格来计算吧。但是这样的话，这个九月和十月的spx option价
格是用此刻的价格吗？(到期日从此刻算起)，还是用到期日从8月算起？
多谢各位指点 | z****u
发帖数: 185 | | D******4
发帖数: 47 | 3 so you think i should use time to maturity obtained from today, or August?
e.g. For September SPX, T = 60 (Time to maturity) compared to today; or
should T = 60-30, compared to Aug-17, when August VIX future expires.
【在 z****u 的大作中提到】
: i think so.
| z****u
发帖数: 185 | 4 from today.
【在 D******4 的大作中提到】
: so you think i should use time to maturity obtained from today, or August?
: e.g. For September SPX, T = 60 (Time to maturity) compared to today; or
: should T = 60-30, compared to Aug-17, when August VIX future expires.
| D******4
发帖数: 47 | 5 Thanks. I find some material at CBOE website, which also indicates i should
use option prices based on today.
【在 z****u 的大作中提到】
: from today.
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