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iPath S&P 500 VIX ST Futures ETN Message Board

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  • slcehamrick slcehamrick Jan 15, 2013 12:21 PM Flag

    Why are VIX puts at such a discount this close to expiration?

    which I guess begs the question of why the futes are still so high . . . I ain't complaining, mind you, as I am short a decent sized position of March 15 puts and they haven't really started to move against me . . . it was part of a 25/15 call/put spread I put on when VVIX was at 100 a couple of weeks ago . . . looked like easy money at the time but now it looks like I am going to need to roll it out and considerable cost

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    • Rick - maybe you've reviewed what happens at opex for VIX but my limited look last night seemed to indicate it is often an inflection point (at least for a week or two) - if the trend is up, it reverses down and vice versa.

      March index holding at 15.32, April at about 16.40. The whole curve (indexes not futures) was up about 30-35 bps yesterday but that could just be the Monday effect. Still a fair amount of room to the Feb futures at 15.80 and March at 17.20 not to mention that if the market stays pinned in the 1462-1474 range we see a 14 handle on the Feb futures probably by month-end.

      Can't figure which direction the expiration is going to be gamed. It's starting to shape up like the September settlement which could indicate low 13s but the way the futures won't give up 14 you wonder if we won't see an upside surprise.

      • 1 Reply to mattrcarl
      • I always thought it was because for instance on television the VIX is 13.39 today say. On Friday it will be the February Contract, trading at 15.80 (rolling into the month), with no translation into upward volatility (VXX) - it is just a rest to a new value. There is almost an absolute certainty that within January we trend back to the 13.39 it is now....

        Isn't this correct that the VIX will roughly be 15.80 Friday or Monday? Of course there would be a discount. You will lose!

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