How much lower will VIX go?

Man TRON was a real good movie! anyhow when I got back home closed half my short put positions for a nice fat profit :)


Lets see if we get another little jump so I can get back in on the other half. I never did get filled on those long GLD puts though.
 
Quote from turkeyneck:

Is it still early to long VIX call?
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Thinking spx sees a touch of 1260 first, but I would be somewhat
giddy if they pushed the vix above 20 before xmas, fairly low probability of that though.
 
Quote from trefoil:

If you're looking at symbol VIX, that number was calculated all the way back to 1990 and you can get historical data for it from Yahoo or from the CBOE site. It started to be used by the CBOE in 2004.
VXO is the symbol for the old style, and that one continues to be calculated.
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So are you saying that they went in and adjusted the old VIX numbers using the current formula for calculating the VIX? If not then I don't think you can compare the post VXO VIX #'s to the Pre VXO VIX #'s as they are not based on the same criteria.

I was trading options on the VIX at the time and didn't notice any adjustments made to the historical #'s.
 
No, they just started calculating the VIX the new way, but recalculated it back as, I suppose, a public service and published the results. Actual CBOE text on this below:

New VIX Methodology in 2003

* The CBOE began disseminating prices for a VIX Index with a new methodology (Acrobat .pdf) on September 22, 2003.
* The CBOE Volatility Index (VIX) now is an up-to-the-minute market estimate of expected volatility that is calculated by using real-time S&P 500 Index (SPX) option bid/ask quotes. VIX uses near-term and next-term out-of-the money SPX options with at least 8 days left to expiration, and then weights them to yield a constant, 30-day measure of the expected volatility of the S&P 500 Index.
* The long-term price history and delayed market price quotes are available. Please click the appropriate link below:

VIX (New VIX using SPX options) delayed price quote
VXO (Old VIX using OEX options) delayed price quote
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Link here: http://www.cboe.com/micro/vix/introduction.aspx
Historical prices here: http://www.cboe.com/micro/vix/historical.aspx
 
I started trading options on the VIX when they first came out. I noticed that the near month calls were selling for more than the far month calls. I thought I had found a sure thing with a pricing error and bought spreads selling the near month and buying the far month, assuming at expiration of the near month calls the far month calls would be worth more because of the time premium left. Well it didn't work out that way at first with the near month calls going up in price and the far month dropping. I got cold feet and closed the trade when I got back to even.
 
Quote from chrismontez:

I started trading options on the VIX when they first came out. I noticed that the near month calls were selling for more than the far month calls. I thought I had found a sure thing with a pricing error and bought spreads selling the near month and buying the far month, assuming at expiration of the near month calls the far month calls would be worth more because of the time premium left. Well it didn't work out that way at first with the near month calls going up in price and the far month dropping. I got cold feet and closed the trade when I got back to even.
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Because VIX options are European style!

American and European options

The key difference between American and European options relates to when the options can be exercised:

* A European option may be exercised only at the expiry date of the option, i.e. at a single pre-defined point in time.
* An American option on the other hand may be exercised at any time before the expiry date.
 
Quote from chrismontez:

I started trading options on the VIX when they first came out. I noticed that the near month calls were selling for more than the far month calls. I thought I had found a sure thing with a pricing error and bought spreads selling the near month and buying the far month, assuming at expiration of the near month calls the far month calls would be worth more because of the time premium left. Well it didn't work out that way at first with the near month calls going up in price and the far month dropping. I got cold feet and closed the trade when I got back to even.
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It's because different VIX futures are related between each other by root-time. So, UX1 vs UX2 "beta" will be around 1 + sqrt(1/12) ~= 1.3
 
Quote from sle:

It's because different VIX futures are related between each other by root-time. So, UX1 vs UX2 "beta" will be around 1 + sqrt(1/12) ~= 1.3
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My explanation is better than your explanation. :cool:
 
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