Why aren't VIX calls more expensive right now?

[Saltynuts]

I have some VIX November 40 calls. I bought them when the VIX was down in the like 12s or maybe eve lower. VIX is now around 24, and any little thing could potentially send the VIX spiraling higher, way over 40. Still plenty of time left.

But these calls cost LESS than when I bought them awhile back. Just seems nuts to me.

Thanks.

 

[tiddlywinks]

 

[Reformed Trader]

VIX options tend to have very slow decay until about a month before expiration, and then the decay increases rapidly, eventually becoming more pronounced than it would be for normal index options. The further out of the money the options are, the worse the decay tends to be.

The move in the front-month futures is also smaller than what we saw in January and February, so the front-month future has to move a lot to get to 40 within the next couple of weeks.

 

[FSU]

Also remember your Vix calls are priced off the November Vix futures. So even though the Vix was in the 12's when you bought the calls, the future was probably in the 14's. The November future is around 21ish now, so not as much as a rally as in the underlying.

 

[tommcginnis]

I have some VIX November 40 calls. I bought them when the VIX was down in the like 12s or maybe eve lower. VIX is now around 24, and any little thing could potentially send the VIX spiraling higher, way over 40. Still plenty of time left.

But these calls cost LESS than when I bought them awhile back. Just seems nuts to me.

Thanks.

Volatility is not just keyed by a down-motion, but instead what keyed the down-motion itself.

Thus, with the market undertaking a controlled descent, no wild volume swings, negative issues known-and-being-responded-to, the actual uncertainty itself remains rather fixed.

Hence, a climb in the VIX, but not so much once it rose from the 10-14 level.

(For what it's worth, I think this freely translates to the BTFD mentality remaining firmly in place. )

 

[guru]

First, as FSU pointed out, VIX calls are based off of VIX futures, not VIX index.
Second, volatility moves all the time and usually can’t last long at very high levels like 40, while you’re aiming at VIX being over 40 on specific date. The chance of that is slim and the call price reflects that.
VIX options are not priced like equity options and computers use advanced options pricing models specific to VIX/volatility. Those options are very difficult to trade unless you’re aiming much lower.

 

[monkeyc]

VIX rarely reaches 40, and when it does, it doesn't stay there long. You basically bought a lottery ticket that has low probability of payout.

And your comment "any little thing can cause VIX to spiral higher", is wrong. It takes a lot to make VIX go above 40 and stay there. Today, the market was down 3% at one point and VIX barely increased. The market is down virtually every day for 2 weeks, and VIX hasn't even gotten above 28. So no... it takes a lot more than "any little thing" to cause VIX to spiral above 40.