- VIX SQ is based on the variance strip, i.e. a bunch of OTM options going pretty far which are then weighted by the inverse of the strike. The options there don't really need to trade for them to be counted.
- Since the strip is cut-off at the last "continuous" strike with a valid bid, you can manipulate the print by trading the puts. Showing a bid below that strike lifts the print or hitting the bid in full size reduces the print. It's gotten harder since the new HOSS process was introduces in 2015
- Why on earth would you trade weekly VIX options considering the staggering liquidity?
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Anyone know what time VIX options settle today
- Thread starter Kirribilli
- Start date
For the options for which there were no opening crosses, they use the mid point of the quotes.
No, on settlement they ALWAYS trade the entire strip. This is ensured by the EFP orders from the vix market during the SOQ process.
Correct me if I am wrong, but an EFRP is not a requirement for the expiration print, is it? I think CFE states something like "opening price if any <blah blah> if there is no opening traded price, the first bid and offer". I'd imagine on illiquid expirations (i.e. weeklys) it would be very possible.No, on settlement they ALWAYS trade the entire strip. This is ensured by the EFP orders from the vix market during the SOQ process.
Correct me if I am wrong, but an EFRP is not a requirement for the expiration print, is it? I think CFE states something like "opening price if any <blah blah> if there is no opening traded price, the first bid and offer". I'd imagine on illiquid expirations (i.e. weeklys) it would be very possible.
A strip is not required for traders to enter opening rotation orders resulting in SPX trades, correct. However, an entire strip does need to trade for there to be a vix settlement value. VIX index value is calculated with midpoints. Vix settlement is ALWAYS AND ONLY calculated from actual opening rotation SPX prints.
Indeed, I stand corrected, it is traded prices. Just looked and it's rather clearly spelled out in the final settlement circular. This evolution is clearly better than the older version where they took the mid-point on opening quotes. Unfortunately, I am am not allowed to get involved anyway.A strip is not required for traders to enter opening rotation orders resulting in SPX trades, correct. However, an entire strip does need to trade for there to be a vix settlement value. VIX index value is calculated with midpoints. Vix settlement is ALWAYS AND ONLY calculated from actual opening rotation SPX prints.
PS. I feel like I want to go and check SQ and the series for weekly expirations - it has to be pretty random considering lack of people playing in that sandbox
Unfortunately, I am am not allowed to get involved anyway.
Lol, ofc you are. Just go to http://cfe.cboe.com/market-data/hoss-information at 8:15 every Wednesday morning. Identify a price and order flow imbalance that is a favorable bet. Then place either a market or limit order into the HOSS opening rotation. (Market order gets priority but is obviously more risky if you are unsure what you are doing.)