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CDX Options: Implied Volatility
Why is the implied volatility on the CDX index typically higher than the VIX? I would have assumed that moving up the capital structure would lead to lower volatility. Thanks.
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- StructCred
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CDX Options: Implied Volatility
Are you comparing spread vol to price vol?
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- almostcutmyhair
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CDX Options: Implied Volatility
QuoteOriginally posted by: StructCredAre you comparing spread vol to price vol?I don't think he is. His argument makes no sense.
Last edited by almostcutmyhair on March 15th, 2010, 11:00 pm, edited 1 time in total.
CDX Options: Implied Volatility
I guess I would be comparing spread vol to price vol. In terms of my argument, I would assume that a company's debt and hence credit would be less volatility compared to equity. If I'm not mistaken, bonds do tend to be significantly less volatile than stocks.
Last edited by chaz1858 on March 16th, 2010, 11:00 pm, edited 1 time in total.
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- StructCred
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CDX Options: Implied Volatility
If you're comparing ~90% vol on CDX to ~20% VIX than indeed, you're comparing spread to price vol. Convert credit vol to price vol and compare.