Research Based On The Volatility Index

Risk is an important factor that needs each of investors to focus, as a measure indicator of risk, volatility laid its important position in the financial theory and applications. Nowadays how to better measure, predict and research the volatility has become an important subject to the market participants and scholars. In measuring volatility, the CBOE’s volatility index(VIX) can be a successful model, The VIX can reflect investors’expectations of market’s future volatility and then to guide trading and prevent risk.From overseas mature experience, foreign countries will launch the vix in-dex that based on main index after launching the options, through the trading price of options to forecasting short-term fluctuations of the market, and then to develop various derivatives. It can increase the trading and hedging tools for investors, and improve the activity of financial markets. Since our final-cial market is not developed, market efficiency is relatively low and the idea of investors is not mature, the stock prices often happens sharp fluctuations, then It:s important to us to have an index to predict the marker volatility. On February 9,2015, our country’s first option product-50ETF option is pro-duced, so we can research volatility index that reflects mentality of investors and marker volatility.Firstly, this thesis introduces the background and application of volatility index, make us have a more clear understanding to it, then gives a detailed description of building method of CBOE’s vix. Do statistical analysis by using the vix from 2003 to the present as sample data, discusses the relationship between the vix and the S&P500, gives the performance of vix in the past financial events. Found that the vix and the S&P500 have a strong negative correlation relationship,especially in 2008,2009 and 2011, their negative corre-lation was more than 90%:Besides, also found that vix value mainly between 10 and 30, there always accompanied with special events to happen when the vix value is higher than 40. Secondly, we studied the relevant strategy based on the vix, mainly including threshold strategy and short-term volatility s- trategy. Through threshold strategy we found that vix value equals to 46 is a comparatively strong warning index of risk, and we also found that the change of vix is mainly between [-5,5], then based on the negative correlation between vix and S&P500, this article calculated the winning probability and average yield by shorting the S&P500 while the changes of vix value between 1 and 8. Finally, enter the empirical, use the simulation data of HS300 option to estab-lish vxo and vix from November 25,2014 to February 11,2015 since the trade data of 50ETF option is limited and may not reasonable while just trade at a short time, compared our volatility index with cvx of China Financial Futures Exchange, then we can get that the fitting degree of vxo index and cvx index is low, but the movements basically the same, and we also get that vix and cvx reached nearly 94%positive correlation. Besides, the three index all have a positive correlation with HS300 index, this may be due to the lack of data and the marker is not mature.This thesis mainly consists of six chapters:In chapter 1, we introduce the background of volatility index and the research status at home and abroad.In chapter 2, we present the detailed introduction about vix, including its development history and its main application in the market, then gives a detailed analysis to its statistical characteristics.In chapter 3, introduce the specific method about how to establish vix.In chapter 4, do the strategy research about vix, including the threshold strategy and the short-term fluctuation.In chapter 5, combined with the launching method of CBOE’s vix, we will use simulation data of HS300 option to build vix, and then compared the result with cvx of China Financial Futures Exchange.In chapter 6, to summarize the full text, points out the shortcomings of the full text and further research outlook.