So then let;s take Merton's view of equity as an option on assets. Then a future is a derivative of an index of derivatives. A VIX Future then is a derivative based on the estimated price of a par variance swap on an index of derivatives calculated by using a kernel smoother based on implied volatilities of derivatives based on indexes of derivatives. So an option on a VIX future is a derivative on a derivative based on the estimated price of a par variance swap on an index of derivatives calculated by using a kernel smoother based on implied volatilities of derivatives based on indexes of derivatives.
Very important for people who come to Yahoo for answers to trade these.
I have heard that NSE is going to open India VIX future contracts for trading after feb 26th. Now my questions is will India VIX options will be opened to trade as like how all other index has both futures and options.
