VIX ETF/Futures/Options Discussion Thread
- Thread starter mahras2
- Start date
what I have observed and what I am trying to say is that the negative relationship b/w VIX (in points or in %) and SPX (in % or points) is not linear. it is convex instead.
The VIX definition effectively has both vol level and vol skew components. My thought was the skew got to get larger to cause the convexity, especially if the skew is not normalized by ATM vol. However I have no mathematical proof for this.
The VIX definition effectively has both vol level and vol skew components. My thought was the skew got to get larger to cause the convexity, especially if the skew is not normalized by ATM vol. However I have no mathematical proof for this.
They should be as they likely need to be. Insane how many shares of the ETNs have been created.
That recent XIV pullback was an awesome entry point. Even start of day today was a good entry point with march 19% above spot and april 13% above march.
Ridiculously steep curve with a decent margin of safety for spot vix to spike by march settlement.
That recent XIV pullback was an awesome entry point. Even start of day today was a good entry point with march 19% above spot and april 13% above march.
Ridiculously steep curve with a decent margin of safety for spot vix to spike by march settlement.
I think this insanity still has ways to go but once it's over, it will be an awesome short.So you're saying that I shouldn't have shorted the May/Jun cal spread @ 1.20?
Crap!!
I'm fading it.