The VIX complex is confusing. Just to help bring some clarity to this, how much did you pay for these calls? What was the delta of the call?
buying VIX calls here
- Thread starter grizzlybull
- Start date
He bought march 11 calls... that's trading at 6 with delta of about 70?
I think it is a little extreme to think the index will hit 8 by next week. Vols can be bid slightly even if market is moving up slowly. Proof of this is the fact that the curve is well above spot especially further out.
For anybody who doesn't actually know what the fuss is about here with the vets chuckling at this guy, VIX is quite peculiar because it is not traded on its index directly. All options and ETFs are derived from VIX futures. It doesn't matter what the VIX is now, it matters what the forward contract is doing, and what price that contract is likely to settle at. As they've mentioned, VIX is currently 16-17, while the index is 11. Everybody between now and March is already anticipating a little bit more volatility once the year starts. And since VIX mean-reverts downwards, OP likely is just going to piss away time premium, and possibly even intrinsic, since his call is ITM. The March contract has to get close to closing above 17 to get profitable, and a spike too early won't do it, since the VIX will just revert down, and the futures and options markets reflect this knowledge.
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QUOTE="El OchoCinco, post: 4379312, member: 35483"]I think it is a little extreme to think the index will hit 8 by next week. Vols can be bid slightly even if market is moving up slowly. Proof of this is the fact that the curve is well above spot especially further out.[/QUOTE]
Check what @CyJackX says...
The curve doesn't mean much this coming week... I'm just saying since it's holidays coming up, VIX spot index is likely to drop... not the whole curve.
Check what @CyJackX says...
The curve doesn't mean much this coming week... I'm just saying since it's holidays coming up, VIX spot index is likely to drop... not the whole curve.
If I open up a bar one day, it will be called THE VIX
Check what @CyJackX says...
The curve doesn't mean much this coming week... I'm just saying since it's holidays coming up, VIX spot index is likely to drop... not the whole curve.[/QUOTE]
My point is that if the futures VIX is bid enough to hold up I think the same will be true for the vols in the options which the VIX comes from. The more we really the bigger concern for a drop so vols wills stay bid and I do not see VIX getting below 10 by next week with such light volume. The curve sometimes can guide you on VIX though rarely the other way around.