Summary: In 2018 when the VIX closed below 15.00 on a Friday, purchasing the nearest out of the money VIX call futures option with an expiration date two Wednesdays in the future has been net profitable.
Just a little research to share. So far in 2018 there have been 13 Fridays when the VIX has closed below 15.00 similar as it did today.
When comparing the CBOE's VRO settlements two Wednesday expirations in the future , the VRO has settled higher 10 times, lower 1 time with the 7-6 and 7-13 VIX under 15.00 closes occurrences to be determined.
Those VRO settlement amounts in excess of the paired Friday VIX closes results were: +2.44, +1.45, +2.21, +18.05, +11.10, +1.14, +2.75, -.41, +.87, +3.89, +.72, TBD (July 6th close) and TBD (July 13th close). An average of +4.42 for the 11 known results. Numbers in green bold above likely yield profits if you had purchased the nearest out of the money VIX call option two Wednesday expirations in the future. I understand the VIX and the CBOE's VRO settlement are slightly different measures, but the ballpark estimate of which instances would produce profits is probably good.
There were 16 instances when the VIX Friday closed above 15.00. 12 of those instances the CBOE VRO settlement closed below the VIX close with only 4 closing higher when comparing the nearest out of the money VIX call option two Wednesday expirations in the future.
Just a little research to share. So far in 2018 there have been 13 Fridays when the VIX has closed below 15.00 similar as it did today.
When comparing the CBOE's VRO settlements two Wednesday expirations in the future , the VRO has settled higher 10 times, lower 1 time with the 7-6 and 7-13 VIX under 15.00 closes occurrences to be determined.
Those VRO settlement amounts in excess of the paired Friday VIX closes results were: +2.44, +1.45, +2.21, +18.05, +11.10, +1.14, +2.75, -.41, +.87, +3.89, +.72, TBD (July 6th close) and TBD (July 13th close). An average of +4.42 for the 11 known results. Numbers in green bold above likely yield profits if you had purchased the nearest out of the money VIX call option two Wednesday expirations in the future. I understand the VIX and the CBOE's VRO settlement are slightly different measures, but the ballpark estimate of which instances would produce profits is probably good.
There were 16 instances when the VIX Friday closed above 15.00. 12 of those instances the CBOE VRO settlement closed below the VIX close with only 4 closing higher when comparing the nearest out of the money VIX call option two Wednesday expirations in the future.
