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iPath S&P 500 VIX ST Futures ETN Message Board

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  • mattrcarl mattrcarl Jan 15, 2013 3:55 PM Flag

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

    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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