The VIX and how it can be manipulated

Rickshaw Man

Rickshaw Man

Been following the markets for about 17 years, got sucked in during the late 90s. Started following in 2001.

When the cash VIX gets this low, one way to capitalize on this is in the Futures side of the instrument. Just about every Monday The cash VIX gaps up. When we have the stock indexes hitting all time highs, its very important to keep the VIX up so the party can continue, good luck!
 
The VIX index is not based on the future, It is based on a formula of ATM IVOL in the SPX options. https://www.cboe.com/micro/vix/vixwhite.pdf

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Bob
 
Yeah this doesn't make any sense...

The reason spot Vix goes up on Mondays is because on the Friday nearing the end of trading... more SPX options are being sold to either be long theta, or to pay less theta over the weekend... and then on the Monday, those same options are being bid back up again, to cover lost theta and get that IV back to where it was on the beginning of Friday trading...

Therefore, you will generally see spot Vix dropping at the end of the day on Friday and at the start of trading on Monday it's back up again...

Unfortunately, there is no way to get any money out of this... since the only way to make money from spot VIX is to buy SPX options on during the IV drop on Friday afternoon... but that will mean you will lose on theta over the weekend and usually don't get the IV back up enough to make those losses back....

The Vix futures will trade differently, since they move with SPX options further up in time, which don't drop in IV as much as the front month.
 
SoesWasBetter said:
How come everyone always tells you how there's no edge , but claim to have edge.
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There's always edges around... just not in wrong assumptions of how certain markets work.

I don't see how OP thinks he can make money on the VIX spot gapping higher on Mondays...
 
JackRab said:
Well... no one would really post their edge for free right? I mean.... why on earth would you do that? To boast?
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Even on their deathbed? et has been around for a long time. Jack Hershey could have posted his edge before he croaked, or any of the other 100's that have passed from old age, drink, disease, or suicide.
 
SoesWasBetter said:
Even on their deathbed? et has been around for a long time. Jack Hershey could have posted his edge before he croaked, or any of the other 100's that have passed from old age, drink, disease, or suicide.
More...

That's true... I'll put it in my will, that my edge is to be shared with ET-ers! :)
 
Rickshaw Man said:
Been following the markets for about 17 years, got sucked in during the late 90s. Started following in 2001.

When the cash VIX gets this low, one way to capitalize on this is in the Futures side of the instrument. Just about every Monday The cash VIX gaps up. When we have the stock indexes hitting all time highs, its very important to keep the VIX up so the party can continue, good luck!
More...
---and?
 
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