Gilbert W. Bassett : VIX and VVIX in the Zero-Day-To-Expiration (0DTE) Science Fictional Options Universe

Posted by Kyunghee Han , part of the Statistics and Data Science Seminar.

At

April 23, 2025, 4 p.m.

In

636 SEO

Abstract

The VIX--volatility index--is a number. It is transmitted to the world every 15 seconds from downtown Chicago, viewed right outside the window from UIC, at Cboe. It features Dispersion, Probability, Fear, and other topics of interest to statistics students. It is not related to the Black Scholes model, its volatility is not Variance, and the related Volatility of Volatility (VVIX) measures the Fear of Fear. An introduction to the VIX accessible to statistics students is presented via the Science Fictional Options Universe (SFOU) wherein, among other things, Probability does not exist: Never Happened. Not subjective, physical, or frequentist; no dice. People understand that the future is uncertain and have a sense about what is more or less likely, but "likely" in the SFOU is an informal concept, you know what I mean. In our universe it is like Hygge. *Disclosure: I am on the board of directors at the Cboe Futures Exchange that produces the VIX.