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@MTE There is no special reason why I'm interested in the longer dated options. It's just interesting how the term structure of vols ist modelled. I thougt that they start the process with the front month options and use their vols to get the vols of the longer dated options. Therefore I...

@MTE But how are the market makers calculating their IVs of longer dated options or how do they model the term structure of vols? Also for VIX and SPX there is a almost linear relationship. On average VIX moves 5-6 times more than SPX; eg. SPX goes down 1% you can expect on normal days (no...

Hello, can somebody explain how the implied volatilities of the different expirations of the SPX options are linked? Is there any algorithm or general rule how back month IVs react to changing IV of front month options? Normally when market goes down the IV of front month options will gain...

Thanks for all your replies!! Hedging with VIX doesn't work. The VIX mustn't behave like the IV of the deep otm puts. It happens often that VIX decreases and at the sametime IV of SPX otm puts increase :-( Another question about pricing SPX options correctly: Is there any dividend in the...

Hello, for the last weeks/months there was always an increase in implied volatility of the SPX (deep) otm puts as market went continuously up. The slope of the vol curve steepens with time decay. e.g. IV of SPX May10 1065 put increased over the the last four months about 10%. Is there...

@rallymode I found in the www an approximation for an expected VIX move when SPX falls 10%: a 10% SPX down move comes with a 50% VIX rise. Is this a good approximation or not cause it always depends on time and one sigma? Regards and thanks

@Rallymode Once you filter out synthetic time there is a very well defined and quantifiable inverse corr within 1 sigma[monthly] though it's better if you measure in points or handles vs %. Is that calculation open to the public and can you describe its calculation? So when market moves...

@rallymode, hlpsg Thanks for your replies! A straddle is one simple example. I'd recommend this over using VIX derivatives because the correlation, as others have mentioned, may be far from perfect, and you might not get the hedge when you most need it. I backtested hedging the vega with...

@hlpsg Sorry for the delayed answer. I don't want to hedge the vol risk between the two months. At the expiration of the front month only the back month implied volatility matters. Is it higher than at entry the payoff is worse than modelled :-( Is there any way to compare VIX options...

@MTE Thanks for your reply. I'll try to do it per SPX Options but I think it won't work :-(

Hi GRG, changeing the put to a synthetic stock or put spread whould change the payoff and also delta/theta. My intention is to hedge the vega of a short calendar otm put spread - long front month and short back month put. For the last months it happened that always the implied volatility of...

@MTE I did some backtests and "it's really far a way from a perfect hedge" and therefore I thought that I missed something. So no chance to hedge the IV increase of a SPX put? :-( Or is it easier to hedge the IV of atm SPX puts with VIX options or doesn't the put strike matter? Edit: Or...

Hello, is it possible to hedge the increase (or decrease) of a SPX put's implied volatility with a VIX option? Eg. SPX Jan 1050 put - what VIX (call) option do you have to take to hedge any IV increase of the SPX put (if indeed such a hedge is possible). Thanks a lot

Hello xflat, thanks a lot for your answer. So when trading different expirations (eg calendar spread) you also would take the same date: thursday-thursday, friday-friday, ...

... noboday knows what expiration date to use in a option calculator for SPX options??

Hello, what expiration date is used to calculate the greekr & IV of SPX options? Last trading day is normally the thursday; settlement value is calculated at friday opening. What is the exact expiration? Thursday, friday, saturday? Thanks for your help!

https://www.interactivebrokers.com/smf/index.php?topic=52247.0 Lookslike one guy (quantivity) found the algorithm. For long time I'm looking for the portfolio margin algorithm to stress-test the IB account.

@MTE Thanks a lot for your reply. Just wondered if SPX options are influenced by S&P 500 dividends cause implied vols at same strikes/exp. are different.

...or is the S&P 500 (underlying of SPX options) regularly adjusted for dividends?

Hello, I just recognized that at some websites with option chains there are different implied volatilites for calls and puts with same strike and expiration. Ist this realted to dividends or what can be the reason? (e.g...