Vix mark

FSU · Jan 17, 2018

Seeing huge bids on out of money SPX puts, suggesting a VIX markup this morning. We will see.

noddyboy · Jan 17, 2018

FSU said:
Seeing huge bids on out of money SPX puts, suggesting a VIX markup this morning. We will see.

Which strikes/expiration? I am interested to see if the volume/open interest actually moves.

FSU · Jan 17, 2018

noddyboy said:
Which strikes/expiration? I am interested to see if the volume/open interest actually moves.

Mark is 12.61. It is based on the Feb monthly expiration opening prices in the SPX. I was seeing 5000 lot bids for the out of the money puts. Puts that went out at .05 yesterday, opened at .25 today. These big bids skewed up the mark.

You can see the exact strikes on the CBOE web page, but basically it was around the 1500 to the 3100 strikes

noddyboy · Jan 17, 2018

FSU said:
Mark is 12.61. It is based on the Feb monthly expiration opening prices in the SPX. I was seeing 5000 lot bids for the out of the money puts. Puts that went out at .05 yesterday, opened at .25 today. These big bids skewed up the mark.

You can see the exact strikes on the CBOE web page, but basically it was around the 1500 to the 3100 strikes

Interesting...Skew is pretty low right now, maybe this will bring it back up.

noddyboy · Jan 17, 2018

FSU said:
Mark is 12.61. It is based on the Feb monthly expiration opening prices in the SPX. I was seeing 5000 lot bids for the out of the money puts. Puts that went out at .05 yesterday, opened at .25 today. These big bids skewed up the mark.

You can see the exact strikes on the CBOE web page, but basically it was around the 1500 to the 3100 strikes

I see 7141 contracts bought at Feb 1650...I wonder why anyone will do anything so stupid. It is not going to trade there. Even the bears here will agree with that.

sle · Jan 17, 2018

noddyboy said:
Interesting...Skew is pretty low right now, maybe this will bring it back up.

Sorry, what? The skew is pretty rich, imho - look at Feb or Mar Sk10 vs historical

noddyboy · Jan 17, 2018

sle said:
Sorry, what? The skew is pretty rich, imho - look at Feb or Mar Sk10 vs historical

This is what I see as SKEW. What do you see?
http://stockcharts.com/h-sc/ui?s=$SKEW&p=D&b=5&g=0&id=p38583983565

tommcginnis · Jan 17, 2018

Somebody is making nice in the budget negotiations.

I hate them. :mad:

sle · Jan 17, 2018

noddyboy said:
This is what I see as SKEW. What do you see?
http://stockcharts.com/h-sc/ui?s=$SKEW&p=D&b=5&g=0&id=p38583983565

I have no idea how they calculate this, so I can't comment. The accepted are showing up as pretty rich - for example, SK10 is at 95th percentile. It should be intuitive, though, as at these levels of vols, the skew has to be rich - people would happily sell ATMs because realized is so low and yet lower strikes are well bid because protection is relatively cheap.

PS. SK10 - take implied vol for 90% strike minus implied vol for 100% strike and multiply by square root of time to expiration. It's a fairly standard way of expressing the skew and is self-consistent both along the time axis (since you normalize it via time) and across assets

noddyboy · Jan 17, 2018

sle said:
I have no idea how they calculate this, so I can't comment. The accepted are showing up as pretty rich - for example, SK10 is at 95th percentile. It should be intuitive, though, as at these levels of vols, the skew has to be rich - people would happily sell ATMs because realized is so low and yet lower strikes are well bid because protection is relatively cheap.

PS. SK10 - take implied vol for 90% strike minus implied vol for 100% strike and multiply by square root of time to expiration. It's a fairly standard way of expressing the skew and is self-consistent both along the time axis (since you normalize it via time) and across assets

Still seeing it as low.