0dte & vix
- Thread starter stochastix
- Start date
I like this version of Tyler Durden. Keep politics around the periphery. They are important to the markets to a certain respect, but price should be the focus. Thanks for posting it.
April 20, 2023, 6:56 PM
Cboe Plans to Launch One-Day VIX After 0DTE Options Trading Boom
Lu Wang
Bloomberg News
according to a notice on the website of the Chicago-based exchange. The company already publishes options-derived volatility measures for intervals of one month (ticker VIX) and nine days (VIX9D).
Wall Street analysts have raised concern that the widely followed VIX may fail to capture the full picture of trader sentiment with investors increasingly pivoting toward S&P ...
(rest of article behind paywall)
What do you think @destriero ?
Cboe Plans to Launch One-Day VIX After 0DTE Options Trading Boom
Lu Wang
Bloomberg News
according to a notice on the website of the Chicago-based exchange. The company already publishes options-derived volatility measures for intervals of one month (ticker VIX) and nine days (VIX9D).
Wall Street analysts have raised concern that the widely followed VIX may fail to capture the full picture of trader sentiment with investors increasingly pivoting toward S&P ...
(rest of article behind paywall)
What do you think @destriero ?
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The 0DTE on index has flattened the surface, so I would assume this will continue the trend until we get a crash. No real opinion on daily VIX other than it’s convenient to be able to mark your hedge exp to your index.
I don’t think it will have much impact in terms of 0DTE spec in SPX. Say you’re short the degen strangle 0DTE in SPX and buying the combo in VIX. Say your VIX combo earns 40 bps… you’re buying a lot of VIX. Great for the CBOE but not feasible for the end user.
It will be interesting to see where the dailies price immediately after monthly futures roll due to the contango (futures/cash) People are going to get f*cked.
I don’t think it will have much impact in terms of 0DTE spec in SPX. Say you’re short the degen strangle 0DTE in SPX and buying the combo in VIX. Say your VIX combo earns 40 bps… you’re buying a lot of VIX. Great for the CBOE but not feasible for the end user.
It will be interesting to see where the dailies price immediately after monthly futures roll due to the contango (futures/cash) People are going to get f*cked.