Hi,Quote from clarodina:
Does futures vix converge to cash vix level on option expiration and the cash vix level is used to calculate whether the option is in or out of money? But the historical data of vix futures front month is always out of line on the settlement day at option expiration so which 1 is used for in or out of money option?
Anyone know any brokers that offer binary options?
Quote from heech:
Hi,
Yes, I believe futures vix should basically converge to cash vix... but this is only approximation. On expiration day, they do a single sample of option prices at the open to generate the final vix future price (special opening quotation). This should basically be spot vix, but might not actually be identical.
What numbers are you looking at that you think they're actually different...?
Quote from heech:
Hi,
Yes, I believe futures vix should basically converge to cash vix... but this is only approximation. On expiration day, they do a single sample of option prices at the open to generate the final vix future price (special opening quotation). This should basically be spot vix, but might not actually be identical.
What numbers are you looking at that you think they're actually different...?
Quote from heech:
I thought I'd share what I'm going to be doing with VIX... it's a variant of what I'm already doing with equities.
I think the IV premium in the VIX options are rich. Probably not too surprising, since there are probably a lot of institutional/retail buyers who are buying insurance with them, without being too concerned about the premium they're paying.
There are of course lots of ways to short rich options... but I figured I'd use my automated code, and try doing a modified delta-hedge on the VIX options with the VIX futures.