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Long an ATM straddle in the VIX is wanting either large movement in the SP options or absolutely no movement. Therefore the graph of the ATM straddle in the VIX as it corresponds to the SP is like a wavy "W." An ATM staddle is basically delta neutral on the SP. Is anyone here on the CBOE...

Settlement of Option Exercise: The exercise-settlement value for VIX options (Ticker: VRO) shall be a Special Opening Quotation (SOQ) of VIX calculated from the sequence of opening prices of the options used to calculate the index on the settlement date. The opening price for any series in...

I have a question... how come the ice doesn't melt when those Johnson sisters so hot?? :)

http://muhammadcartoons.com/ :)

Instinet terminals will say how many people are looking at the same screen, but for generic level 2 count of viewers is not possible. :)

Impressive... 4 other people and myself were convinced this was an Excel program error. One guy lost $10 because he could thought he could figure it out. Thanks for solving the mystery!! Now I will be able to sleep tonight. :)

Trivial wiedness... Try to type the symbol for Accenture Ltd (ACN) into Excel and it switches it to CAN. I tried all the following.... acn => can ACN=> CAN 'ACN => CAN I had 2 other people try this and the same thing happened. No matter what I do Excel will not let me type the...

Public always has priority over the Market Makers. So if the market maker is showing .10 x .20 (100 x 100) and you submit a 1 lot on the bid (.10) then you are the first to be traded at that price. But you have to compete with all other public orders on a first to post, first to trade basis...

1. You need a margin account with maximum options approval 2. The broker will liklely have minimum dollar amounts needed for each level. E.g. naked writing = $100K 3. I think IB is in Canada? There are many in the US... 4. They do not do a credit check or anything. They just go...

A big problem is the VIX is priced on the MID volatility and you will be trading on the bid and ask. This with management fee, commissions etc... the cleanest arbitrade may be an OTC volatility swap? :)

VIX options are settled 30 days pior to normal expiration. pricing is based on the SPX options opening price. This may allow for some large institutions to try and fire through some manipulating orders on that Wednesday morning in the SPX. The price of the VXN is based on... 8 option...

One notable difference: Shorter dated implieds are expected to be more volatile than longer dated implieds; the vol of vol is higher for shorter dated options. :)

The CBOE says the VIX volatility in 2005 was 84% But the forward VIX was only 45.8% :)

Vega risk of ATM VIX options? If you want to own volatility I guess you should buy Deep ITM VIX options. But what is the derivative of Vega if you are exposed to if you buy ATM VIX options? SPX index moves cause SPX options vols to change When SPX option vols change the VIX changes...

http://www.cboe.com/AboutCBOE/ShowDocument.aspx?DIR=ACNews&FILE=20060111.doc VIX options are coming on Feb 24. Anyone care to comment on the application of the Greeks to these options? Seems like launching a product that needs is priced on volatility which is also a measure of volatility...

This person is not customer service, but he can help you get futures listed to trade as long as they are electronicaly traded. I think he is the VP of institutional trading or something like that? Anywhoo.. you will have to have an account before you can request securities added. Mike...

It turns out the liquidity on the Rogers is much better and has a lot more capital making a market on it. It has a relatively smaller weighting in the energy sector which may prove good if energy has a pull back after its big run. I have not traded these yet, but I have told my broker to...

You get rich though concentration and you stay rich though diversification. :)

Anyone know where I can find short interest on Japanese stocks? :)

Anyone know of a trading desk making markets in OTC variance and volatility swaps. Anyone know the common type of estimation technique which is used for these contracts? E.g. linear extrapolation, cubic slpine etc... :)