Forums - VIX ETF/Futures/Options Discussion Thread

HOME FORUMS BROKERS SOFTWARE BOOKS CONTACT US

Your Account • Become a Member • Help • Search

	Forums ›› Main ›› Options ›› VIX ETF/Futures/Options Discussion Thread

Page 12 of 31: « First Page 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 Last Page »

njrookie1

Registered: Nov 2011
Posts: 242

02-12-12 04:34 AM

VIX goes up very fast - more than linearly - when SPX goes down. It is related to (risk neutral) skew going up in the option mkt when things flare up. If this is what you means by gamma risk in short selling VIX related products, you might need to hedge the tail risks.

njrookie

Edit/Delete • Quote • Complain

sle

Registered: Apr 2003
Posts: 1610

02-13-12 07:38 PM

Quote from njrookie1:

It is related to (risk neutral) skew going up in the option mkt when things flare up.

Sorry, what exactly do you mean by "skew going up"?

Edit/Delete • Quote • Complain

njrookie1

Registered: Nov 2011
Posts: 242

02-13-12 07:47 PM

slope of IV goes up for OTM puts.

Edit/Delete • Quote • Complain

atticus

Registered: Mar 2007
Posts: 12701

02-13-12 07:55 PM

Quote from njrookie1:

slope of IV goes up for OTM puts.

Not always the case in a steep drop. Often the 20D/ATM slope goes down.

Edit/Delete • Quote • Complain

sle

Registered: Apr 2003
Posts: 1610

02-13-12 09:17 PM

Quote from njrookie1:

slope of IV goes up for OTM puts.

not sure if that's true. do you mean fixed delta skew (e.g. ATM - 25d put) or fixed moneyness (e.g. 100%-90%)?

Edit/Delete • Quote • Complain

njrookie1

Registered: Nov 2011
Posts: 242

02-13-12 09:31 PM

what I have observed and what I am trying to say is that the negative relationship b/w VIX (in points or in %) and SPX (in % or points) is not linear. it is convex instead.

The VIX definition effectively has both vol level and vol skew components. My thought was the skew got to get larger to cause the convexity, especially if the skew is not normalized by ATM vol. However I have no mathematical proof for this.

Edit/Delete • Quote • Complain

Page 12 of 31: « First Page 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 Last Page »

Receive an email whenever a new post is added to this thread by subscribing to it.

Rate This Thread:

Forum Jump:

Conduct Rules - Privacy Policy - Day Trader - Day Trader Forum - Best Trading Software - Sitemap

WHILE YOU'RE HERE, TAKE A MINUTE TO VISIT SOME OF OUR SPONSORS:
Advantage Futures Futures Brokerage & Clearing AMP Global Clearing Futures and FX Trading Bright Trading Professional Equities Trading CTS Futures Trading Software DaytradingBias.com Professional Trading Analytics ECHOtrade Professional Trading Firm	eSignal Trading Software Provider FXCM Forex Trading Services Global Futures Futures, Options & FX Trading Interactive Brokers Pro Gateway to World Markets JC Trading Group Direct Access Trading MB Trading Direct Access Trading	MultiCharts Trading Software Provider NinjaTrader Trading Software Provider OANDA Currency Trading optionshouse Option Trading & Education Questrade Canada's #1 Online Broker Rithmic Futures Trade Execution Platform	SpeedTrader Direct Access Trading SpreadProfessor Spread Trading Instruction thinkorswim by TD Ameritrade Direct Access Trading TradersStudio System Building & Backtesting Trading Technologies Trading Software Provider Trend Following Trading Systems Provider