Mastering Python for Finance - Second Edition

Volatility derivatives

The two most popular volatility indexes worldwide are the VIX and VSTOXX, which are available in the United States and Europe respectively. The VIX is based on the S&P 500 Index that is disseminated on the CBOE. While the VIX is not traded directly, derivative products of the VIX such as options, futures, exchange-traded funds, and a host of volatility-based securities are available to investors. The CBOE website provides comprehensive information on many options and market indices such as the S&P 500 standard and weekly options, and the VIX, which we can analyze. We begin by understanding the background of these products before performing financial analytics on them in the later sections of this chapter.