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Volatility Index Comparison

Video Tutorial

beeTrader – Volatility Index Comparison

Understanding the Volatility Index Comparison function

Introduction: the volatility indices represent the implicit volatility mediated by a series of options on different expiries. There are indices in which the implied volatility they represent is the rolling one, that is the volatility of series of options which also imply different expiries but which do not exceed 30 days.
For example, on the first day of the year, the index will only represent the implication of January, while on January 15th the implication we will read will be the average of the options that have 15 days of life on January and 15 days of life on February.
As you can see it will always be 30 days.
Other types of calculations always represent implicit volatility of options but grouped in different ways.

beeTrader’s Volatility Index has a proprietary calculation mode that differs from how the other indices are calculated and therefore absolutely not COMPARABLE measures.

We devised this algorithm because there was no Volatility Index that indicated not so much the implied volatility that I already find in the other indices, but gave an indication (Index) of the probable trajectory of the underlying. We have extended it to all the instruments dealt with and you can find it on stocks, currencies, futures and bonds.

Click on the image to expand

This tool allows you to compare the historical graph of two titles whose graphical representation is normalized to favor comparison. For both titles, the corresponding Volatility Index is also displayed for a more complete evaluation.
Four graphs are then shown, each can be selected / deselected by clicking on the name at the top.

With this analysis the user will clearly see the differences between the Volatility Index of the selected securities bearing in mind that the options are sold with high volatility and eventually bought with low volatility.