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iPath S&P 500 VIX ST Futures ETN Message Board

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  • hedgehog25 hedgehog25 Jan 15, 2013 12:25 PM Flag

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

    I understand, but that's basically just rephrasing the question, it doesn't explain why. The settlement date for VIX futures is the same as OE. So, why would VIX futures be so far above the VIX this close to settlement? That's essentially the same question.

    And yes, I'm aware that the options settlement price is determined by the special opening quote, but historically it doesn't appear to me that VRO tends to end up above the previous afternoon's close any more than below.

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    • You asked why the options were trading where the were - I explained you needed to look at 14.10 as your underlying amount, not the VIX index in the 13.50s.

      Why futures are still 35bps (14.05 vs 13.68) above VIN right now is anyones guess. Keep in mind that the indexes can be easily gamed since the difference between VIX at the bid and ask is usually over 100bps (last figures were VIX at 13.60, VIX-bid at 13.00 and VIX-ask at 14.20.)

 
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