Monday, September 8, 2014

Risk Free Rate Of The VIX


Talking about the impact of Interest Rates and the value of the VIX calculation.  Below is the acutal formula for calculating the VIX.  Notice how the VIX is the sum of many variables and a multiple of R, which is the Risk-free interest rate.  So as interest rates go down, the VIX will go down.  As interest rates go up the VIX will go up.  Everything else is based on option pricing.



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