What Is the VIX? | Volatility Index Explained by a Quant
Video Overview & Insights
What is the VIX, and how is it calculated from option prices?
This was so awesome!!!
In this lecture, Doug Costa, a former math professor and ex-head of quantitative research at Susquehanna, explains the mathematics behind the VIX (Volatility Index) and how options markets reveal expected market volatility. Often called the “fear index,” the VIX is derived from S&P 500 option prices. But the real story is far more interesting.
please more of this
In this lecture, Doug will break down:
Really appreciate the insights in this video.
• How option “hockey stick” payoffs connect to volatility
• Why calculus plays a key role in understanding the VIX
nothing like some good old physical VIX
• How traders and quants extract implied volatility from options
• The financial intuition behind variance and volatility swaps
VVVVIX when?
• Why it took centuries of mathematics to uncover this perspective
Loved the content, keep it coming!
If you’re interested in options trading, implied volatility, derivatives pricing, or quantitative research, we think you’ll enjoy this deep dive into the VIX.
Learn more + apply to Susquehanna: sig.com/careers
More User Perspectives
Loved the content, keep it coming!
@DodererMisoveGreat tips, thanks for sharing!
@AlifKhan-g9zwe need more videos like this
@luminousblue1539Great job, this video was very useful!
@SoniaMaria-m5xThanks for sharing this, learned a lot.
@BashirRabiu-l2hFantastic explanation, thank you!
@AliBukar-s9uthank you
@toaster-bath-time0Fantastic video, really appreciate your effort!
@kevinnichols-c1lVery well done, appreciate this video!
@Michel-g1eI can’t believe this is free. This is GOLD! Explained many stochastic calc concepts better than my professors!
@DeadChimeraThis video was amazing, learned a lot.
@BallardColdshoreYou explained this so well, thank you!
@laylaparkerKanebenderReally appreciate the insights in this video.
@الصادقابراهيمودالعشاريAmazing video! Very informative! Thank you.
@christianabouhamad1908This was exactly what I needed, thanks!
@AminuRilwanu-t1mGreat video! Really enjoyed it.
@delilahkayighAwesome video, looking forward to the next one!
@HuyHân-m4rPost a video that will make us money 💔
@The_QuaaludeAmazing content as always!
@RogerOrtiz-x3bNice!
@acchongoThere’s no way they made all of these for free.
Whats the catch !!!
You explained this so well, thank you!
@LinoWelling-g5pDoug great video...could you also make a video on the calculus of the Macauley duration equals Modified duration divided by 1+r/ periodicity
@mathiaslobo7390This is beautiful!!!!
@nazmul_khan_Beauty!
@aakashkathuria9477This entire business runs on annual standard deviations. VIX at 18 does not imply an up or down move of 18% in 30 days, its over a year. Divide VIX by the square root of 252 or 12 to get the daily or monthly implied move of the S&P 500.
@castlehedgeThanks for sharing this, learned a lot.
@YếnThạch-c4jI think he forgot the left hand side square brackets on the first line at the start of the video.
@PerriPaprikashAmazing content as always!
@fvgrsergfreA thinner line would make the handwriting easier to read. Thank you for the lecture.
@mikefischbein3230explain it to me like i failed all my math courses
@SnapDragon3489Very interesting content, over my head but very interesting nonetheless
@holyearthapproved.
@xUNCHARTEDThank you for the great content!
@CummingsCyclingThank you sir ❤❤❤ stay healthy 🙏
@alldynamicsLoved the content, keep it coming!
@Ryuu-k1dNot now, Babe; I'm reading the VIX white paper
@BraynessI'm cureentky majoring in electrical engineering so my background has nothing to do with markets, but this is just so cool. I research strategies on my own for fun and build tools around options flow and market structure, which is probably why this video showed up on my feed. Great breakdown of the VIX too.
Its crazy how much engineering overlaps with markets. Signal vs noise, modeling systems with changing variables, feedback loops it all connects to things like hedging, delta neutrality, how alpha decays. And now the big buzz word AI is being thrown around , the same question keeps coming up how do you integrate AI into your workflow and let it take over or explore what you cant or what new opportunities does AI logic introduce to current strategies since math is indefinetly large what's actually a real signal and what's just noise? That's really just math. But you can't model everything, is simple or complex often the best? at some point you have to make assumptions, and I think that's what makes this space so interesting. complex that you miss out on what would be a good trade or simple enough that you're capturing to much noise you have to find the median and the super cool thing is you can use math to create and to test your stategy thank you monte carlo
I've taken very little math over the past few semesters that I havent even scratched the surface and honestly sometimes my classes kill my passion. But in the summers when I can actually apply what I've learned to stuff I care about, it comes right back. I always think about how people like Newton or Nikola Tesla had such creativity to make such abstract inventions. I think they just found something they were genuinely obsessed with and had the patience to stare at a problem long enough. That's different from trying to memorize formulas for an exam.
But the idea that you can model something with variables that are constantly changing and trying to harness randomness that's what keeps pulling me back in. Always looking to learn more. Great content from the Susquehanna team.
Amazing video as usual, would love it professor Costa could cover volatility skew in a future video and get into how quants adjust when the model's assumptions break
@zickzack8149Very well done, appreciate this video!
@BvgfIijhuWhat a great guy! SO interest, great video! thanks!
@BluffCreekStudioNice, quite informative :D
@rickyzhang3965What a lovely review , thanks for sharing !
@federicohan1458The goat
@jesusperezcuarenta