CBOE Volatility Index Methodology White Paper (current revision).
Open referenceReferences
Methodology
Every Kairos analytic traces back to an authoritative primary source. The citation index below names every paper, white paper, and specification the dispatch path reads.
Black, F. & Scholes, M. (1973). Hull, J.C. Options, Futures, and Other Derivatives, §15 / §19.
Open referenceCarr, P. & Madan, D. (1998), Towards a Theory of Volatility Trading; model-free variance via the option-strip integral.
Open referenceDerman, E. (1999), Regimes of Volatility; sticky-strike / sticky-delta classifier.
Open referenceEngle, R.F. (1982), Autoregressive Conditional Heteroskedasticity; Hansen, P.R. & Lunde, A. (2005) GARCH(1,1) loadings.
Open referenceBarndorff-Nielsen, O.E. & Shephard, N. (2004), Power and Bipower Variation with Stochastic Volatility and Jumps; Huang & Tauchen (2005) finite-sample guard.
Open referenceLee, C.M.C. & Ready, M.J. (1991), Inferring Trade Direction from Intraday Data, Journal of Finance 46(2), 733-746.
Open referenceOptions-market trade conditions and aggressor-classification specification (industry standard).
Open referenceSEC Regulation NMS Rule 611 multi-venue order-protection rule; Hendershott, T. (2013) multi-venue sweep characterisation.
Open referenceSqueezeMetrics, "The GEX Effect" (2017); Hull §19 (gamma).
Open referenceEasley, D., Lopez de Prado, M.M. & O'Hara, M. (2012), Flow Toxicity and Liquidity in a High-Frequency World, Review of Financial Studies 25(5), 1457-1493.
Open referenceEasley, D., Kiefer, N.M., O'Hara, M. & Paperman, J.B. (1996), Liquidity, Information, and Infrequently Traded Stocks; PIN moment estimator.
Open referenceKyle, A.S. (1985), Continuous Auctions and Insider Trading, Econometrica 53(6), 1315-1335; OLS price-impact estimator.
Open referenceCont, R., Kukanov, A. & Stoikov, S. (2014), The Price Impact of Order Book Events; NBBO order-flow imbalance.
Open referenceBacry, E., Mastromatteo, I. & Muzy, J.-F. (2015), Hawkes Processes in Finance; Fano-factor proxy for branching ratio.
Open referenceHasbrouck, J. (1995), One Security, Many Markets: Determining the Contributions to Price Discovery, Journal of Finance 50(4), 1175-1199.
Open referenceOCC Standard Portfolio Analysis of Risk (SPAN) — 16-scenario margin grid across price and volatility moves.
Open referenceRiskMetrics historical-simulation VaR; Acerbi, C. & Tasche, D. (2002) Expected Shortfall as a coherent risk measure.
Open referenceSEC National Market System Limit Up Limit Down Plan; last-25-minute band-doubling provision.
Open referenceMarket-wide circuit-breaker thresholds (Level 1 -7%, Level 2 -13%, Level 3 -20%) per NYSE Rule 7.12 and Cboe Rule 6.32.
Open referenceStoll, H. (1969). Forward-PV-of-strike parity inversion; implied spot, implied dividend, conversion-arb derivations.
Open referenceEngle, R.F. & Granger, C.W.J. (1987), Co-Integration and Error Correction; MacKinnon (1991) ADF critical values.
Open referenceSharpe, W.F. (1964), Capital Asset Prices; OLS regression-to-market beta and alpha.
Open referenceBoyarchenko, N. & Eisenbach, T.M. on synthetic funding via box spreads; four-leg synthetic risk-free rate.
Open referenceRolling N-window mean / standard deviation against a sample-z-score baseline; HVOL / 52-week band parity.