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Complicated question... SPX options will have gamma and theta aspects that arent represented in the vix index. Also, as already pointed out, the SPX options' volatility may not rise, but vix would still go higher if the SP500 goes down, while vix would drop if sp500 goes higher. The vix...

SLE was pointing out that the SPX index dropping will make the vix rise WITHOUT any extra demand for options simply due to the way the vix is calculated. Rising demand for SPX options will also increase the vix, of course. While both will make the vix rise, these are not the same thing.

After parting ways with my backer, I plunked $10k into a test IB account 2 month ago, and have made about $500 per day since. All it takes is 12 years of experience, millions worth of intellectual property development, plus an identified opportunity. It ain't easy, nor is it scalable. At 1%...

Your method of over/under value determination is more sophisticated than many of the market making companies out there. I particularly like the concept of watching var ranges. We do this in many different ways to watch outright vols, expiry vols, calendars, as well as skews...

I get the feeling you are way too green to trade... Regardless, see the number at the top under "last"? That's the latest calculated index value

CBOE trades index options, not futures options (that's globex at the CME). go to the options trader, type in spx, and choose index

The premium equivalent to those vega differences is around a penny. The issue may be 1) their forward calculation, 2) their early ex value modeling (one of the most difficult modeling jobs in the options world) or 3) they may be taking a midpoint instead of creating a put/call parity...

The question could be it's own thread. I would love to hear from the IB rep on this one. I don't know the exact regulatory obligations and limitations, so take this with a grain of salt... BUT, when you choose "SMART" on your routing, the broker will do everything he can to use your order...

I stand corrected. Also, you are right about a few things: 1) my suggestion helps less and less as the trader becomes more experienced-- and more capable of determining value edge, and 2) I had no idea that you, as well as a few others in this thread actually make a living trading vix futures...

This is hilarious, the first time I saw your screen name you were responding to MY post, not the other way around. Why are you so ego touchy? and on a fucking anonymous forum of all places. Go have a cocktail and loosen up a bit.

What am I exaggerating? Nevermind, that conversation isnt worth anyone's time... Here's the fact of the matter: I have never traded as a customer. I don't know exactly what tools you use, or how you make your decisions. By no means am I trying to insinuate that market makers are smarter. In...

Ha, dude, you obviously dont grasp my point. Term structure spreads can easily be translated into single future equivalents. This is exactly what our system does automatically all day, every day. Not exactly the same, but most traders will be better off trading fewer contracts to equal very...

No problem here. I'm not trying to be pedantic. I'm pointing out something that has led me down a path towards actual trading edge. I would like to know why other cash products don't converge though. My expertise is the vol surface and options market making, not index cash value...

It's not expiration that fucks with the vix cash number-- its the weekend, especially the 3 day weekend. Don't confuse this with the actual vix expiration calculation which is NOT the vix cash number. You can estimate how far the vix cash number is off. Do this: look at the ATM SPX options'...

His question: Your answer: "Yes" is not correct. The methodology is different than the vix cash calculation. If they were the same, they WOULD converge on expiration, like most cash numbers and futures do.

Another observation: the vix futures closing prices ALWAYS get monkeyed with by the vxx and other vix etf managers rebalancing their risk baskets. The Jan future closed .15 to .2 lower than it should have. If you notice, the front month vix future almost always closes .50 to $1 above the...

The phenomenon you are witnessing is due to the actual time of the vix calculation vs the trading day time used by options market maker to price spx options. Thus, that difference is not tradeable, and is more pronounced going into a longer weekend. As far as your option strip idea...atticus...

This isn't true. The vix futures never converge with vix cash. The vix expiration price uses one expiry from the SPX, whereas every vix cash quote will use a combination of 2. Also the vix expiration price is almost always based on an opening strip trade in the SPX, whereas the vix cash is...

Why are you watching vix cash at all? Not only can you not trade it, but the quoted vix cash methodology completely changes when the exchange determines the Vix expiring value. The biggest difference is that the Vix uses one spx expiry strip to determine expiration value, whereas they use 2 spx...

I'm interested in this idea. As long as you look at IV compared to HV on a % basis instead of an absolute basis, how is comparing beta to IV (or beta to premium as a % of underlying) in one stock vs another any different? Are you doing this because you can find betas, premiums, and stock...