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We therefore construct the NZVIX by combining implied volatilities series of the existing four stock options, which are then used as a proxy for the implied volatility index of the NZX 15.
Firstly, because implied volatilities are considered to be forward-looking measures of market volatility (Fleming et al.
Nielsen, "Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns," forthcoming as an NBER Working Paper.
Zhou, "Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities," forthcoming as an NBER Working Paper.
Thus, basing the decision to sell a straddle on a comparison of seemingly irrational high implied volatilities with much lower expected volatility could itself be an irrational choice.
Whether you want to wager on a breakout or a breakdown, the declining implied volatilities may mean you get can get an extra boost on an option purchase.
It contains accurate historical prices - dating back to January 1996 - of options and their associated underlying instruments, correctly calculated implied volatilities, and option sensitivities.
Forecasting Stock-Return Variance: Toward an Understanding of Stochastic Implied Volatilities
Until recently, quants have not had good statistical models that predict future volatilities of financial returns.
Our mathematical process strongly relies on estimates of volatilities and correlation for both alpha generation and risk control.
We obtained their volatilities by calculating their deviations from long-run trends.