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iPath S&P 500 VIX ST Futures ETN Message Board

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  • hedgehog25 hedgehog25 Jan 15, 2013 3:46 PM Flag

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

    See...I don't get it. With barely half an hour left, the VIX is at 13.36, and VIX 14 puts are at .25x.30, while 15 puts are at 1.10x1.15. With this kind of close on the S&P (near the HOD, and quite possibly a resistance break and a new post-crash high), I don't see why anyone would expect the VIX SOQ to be significantly higher than where the VIX closes today. If anything, it would be the other way around. So why the discrepancy?

    Yeah, yeah, it's because futures are higher, that's not what I'm driving it. Why would futures settling tomorrow morning still be so much higher? Is there any logic behind it?

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    • 50bps is a lot of difference (sitting at 3:52 VIN is 13.50, futures 14.00x14.05). 25-30 bps is not too unusual, though.

      Maybe it's a hint of the settlement. Maybe they expect futures down 5 or 6 again in the morning (like the past few.)

      The settlement is even outside the VIX-Ask which is 13.98.

      And then maybe futures tank 25bps into the 4:15 close. We shall see.

 
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