Where can one find Greeks on Vix futures options?

S

stevenpaul

I read that LiveVol has correct Greeks on Vix futures options, but that service is rather expensive and I don't plan on using it for anything other than the Vix option Greeks. I don't know if I would calculate them accurately myself using calculators where I plug in my own data. Do you know where we can get free quotes on Vix futures options delta at least?

I assume the readers here understand the problem with Vix futures options Greeks: all the different platforms (e.g. what I use, IB's TWS) do not list the correct Greeks for Vix futures options whatsoever. Instead, they list Greeks calculated as if Vix were the underlying, when in fact the underlying is the Vix futures contract of a given expiration. This bizarre phenomenon is referred to here: https://sixfigureinvesting.com/2010/01/trading-vix-options/

Thanks for any tips on finding accurate Vix options Greeks, so I can go beyond just guestimating.
 
You can open an account at IB through lightspeed trading, and get LVX for free. Go to our website for more information and sign up for a demo if you like. Please say that you heard about us from Elite Trader.
 
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