2012年5月芝加哥期權交易所(CBOE)推行新的週選擇權的交易規則：其每週四列出的週選擇權的到期日最多增至五個，這使得新規則下週選擇權的交易變得更為活躍。因此，本文將基於CBOE公佈的原有波動率指數(VIX)的算法，引入週選擇權的數據進行研究。我們首先調查引入週選擇權的波動率指數的期限結構的變化；然後研究該波動率指數和S&P 500指數之間是否會呈現更為明顯的負相關程度；最後探究其對於未來實際波動率的預測能力。本文的實證結果表明該波動率指數的期限結構發生改變；且與S&P 500指數之間的負相關程度以及對於未來實際波動率的預測能力皆有所提高。

In May, 2012, Chicago Board Options Exchange, CBOE, published a new regulatory circular, extending the listings of weekly options. Under this new rule, weekly options trading has become more active than before. Therefore, in this article, we study the volatility index, VIX, with weekly options data based on the published VIX algorithm. We first inspect the change of its term structure. Then, we examine the relation between the S&P 500 index and this VIX. Finally, we investigate its forecasting ability and information content for future realized volatility. Our empirical findings suggest that the VIX calculated with weekly options data is more effective. It contains more information for future realized volatility, and its forecasting ability is also superior.

Ang, A., Hodrick, R. J., Xing, Y.-H., and Zhang, X.-Y. (2006). "The cross‐section of volatility and expected returns." The Journal of Finance 61(1): 259-299.
Banerjee, P. S., J. S. Doran, and D. R. Peterson (2007). "Implied volatility and future portfolio returns." Journal of Banking & Finance 31(10): 3183-3199.
Becker, R., A. E. Clements, and A. McClelland (2009). "The jump component of S&P 500 volatility and the VIX index." Journal of Banking & Finance 33(6): 1033-1038.
Becker,R., A. E. Clements, and S. I. White (2006). "On the informational efficiency of S&P500 implied volatility." The North American Journal of Economics and Finance 17(2): 139-153.
Blair, B. J., Ser-Huang Poon, and S. J. Tsylor (2010). Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high-frequency index returns. Handbook of Quantitative Finance and Risk Management, Springer: 1333-1344.
Carr, P. and L. Wu (2004). "A tale of two indices."
CBOE (2009), “THE CBOE VOLATILITY - VIX”, Chicago Board Options Exchange, URL: http://www.cboe.com/micro/vix/vixwhite.pdf.
Christensen, B. J. and C. S. Hansen (2002). "New evidence on the implied-realized volatility relation." The European Journal of Finance 8(2): 187-205.
Christensen, B. J., C. S. Hansen, and N. R. Prabhala (2001). "The telescoping overlap problem in options data." Draft Paper.
Christensen, B. J. and N. R. Prabhala (1998). "The relation between implied and realized volatility." Journal of Financial Economics 50(2): 125-150.
Corrado, C. J. and T. W. Miller Jr (2005). "The forecast quality of CBOE implied volatility indexes." Journal of Futures Markets 25(4): 339-373.
Daigler, R. T. and L. Rossi (2006). "A portfolio of stocks and volatility." The Journal of Investing 15(2): 99-106.
Fleming, J. (1998). "The quality of market volatility forecasts implied by S&P 100 index option prices." Journal of Empirical Finance 5(4): 317-345.
Jiang, G. and Y. Tian (2007). "Extracting model-free volatility from option prices: An examination of the VIX index." Journal of Derivatives 14(3).
Jiang, G. J. and Y. S. Tian (2005). "The model-free implied volatility and its information content." Review of Financial Studies 18(4): 1305-1342.
Luo, X. and J. E. Zhang (2012). "The term structure of VIX." Journal of Futures Markets 32(12): 1092-1123.
Majmudar, U. and A. Banerjee (2004). "Vix forecasting. " The 40th Annual Conference of the Indian Econometrics Society.
McGroarty, F., Ap-Gwilym. O., S. Thomas (2006). "Microstructure effects, bid–ask spreads and volatility in the spot foreign exchange market pre and post-EMU." Global Finance Journal 17(1): 23-49.
Poon, S.-H. and C. W. Granger (2003). "Forecasting volatility in financial markets: A review." Journal of Economic Literature 41(2): 478-539.
Whaley, R. E. (2000). "The investor fear gauge." The Journal of Portfolio Management 26(3): 12-17.
Whaley, R. E. (2008). "Understanding the VIX." Journal of Portfolio Management, 35, 98–105.