Finance Theory — 11.3: Implied Volatility and the VIX скачать в хорошем качестве

Finance Theory — 11.3: Implied Volatility and the VIX

When the VIX spiked to 82.69 in March 2020, that number wasn't calculated from historical data — it was extracted from option prices using a powerful inversion of the Black-Scholes formula. This video explains how implied volatility works, how the VIX captures forward-looking fear, and then pushes the framework further: showing that a company's equity is mathematically identical to a call option on its assets, with the face value of debt as the strike price. Key concepts covered: • Implied volatility as the reverse-engineering of Black-Scholes • Forward-looking vs. historical volatility • How the CBOE constructs the VIX from S&P 500 options • The term structure of implied volatility (temporary shocks vs. prolonged uncertainty) • The Merton model: equity as a call option on firm assets • Debt as a risk-free bond minus a put option • The identity V = D + E and capital structure arbitrage • Why asymmetric payoffs make volatility beneficial for option holders • Options thinking applied to education, hiring, and venture capital ───────────────────────────── ORIGINAL SOURCE ───────────────────────────── This video distills concepts from the following source:    • Ses 11: Options II   All credit for the original content belongs to the original creator.