Tuesday, April 1, 2014

KOSPI 200 Volatility Index

As written in previous post, I was looking for VIX equivalent for Nikkei 225 (N225) and KOSPI 200 (K200).  I posted just a few days ago on the Nikkei Stock Average Volatility Index (NKVI) here.  Now, I am glad that I found VIX equivalent for K200: KOSPI 200 Volatility Index (VKOSPI) here.

Volatility index(VKOSPI) represents the volatility of the future(30-day maturity) KOSPI200 index as predicted by investors of the KOSPI200 option market based on the KOSPI200 option price. seving as the index to determine the market conditions and investment. It is used to manage (hedge) the market risk arising from the transaction of option and future derivative commodities Volatility index (VKOSPI) has been estimated and published since April 13.2009

Looking at the 6 month chart, VKOSPI usual range is between 12-15, with some spikes above 15 occasionally.  The only big spike is on 4-Feb-2014 to 17+ when K200 is at 245.30, lowest for the 6 months.
VKOSPI 6 month

The 3 months chart show that it stays between 12-15 most of the time, except the spike of 17+ in Feb.
VKOSPI 3 month

The 1 month chart show the same range of 12-15.  There are only 5 days that it is 14+.
VKOSPI 1 month

The 1 week chart shows that VKOSPI has been climbing up towards 14.  Probably is a good time to sell options, unless one is willing to wait till it goes over 14, which happens 5 times in the past month.
VKOSPI 1 week

Similarly, I will take some time to study VKOSPI with K200 to have a better understanding on the correlation before I update my Money Management rules in the Trading Plan.

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