@MTE There is no special reason why I'm interested in the longer dated options. It's just interesting how the term structure of vols ist...
@MTE But how are the market makers calculating their IVs of longer dated options or how do they model the term structure of vols? Also for...
Hello, can somebody explain how the implied volatilities of the different expirations of the SPX options are linked? Is there any algorithm or...
Thanks for all your replies!! Hedging with VIX doesn't work. The VIX mustn't behave like the IV of the deep otm puts. It happens often that VIX...
Hello, for the last weeks/months there was always an increase in implied volatility of the SPX (deep) otm puts as market went continuously up....
@rallymode I found in the www an approximation for an expected VIX move when SPX falls 10%: a 10% SPX down move comes with a 50% VIX rise. Is...
@Rallymode Once you filter out synthetic time there is a very well defined and quantifiable inverse corr within 1 sigma[monthly] though it's...
@rallymode, hlpsg Thanks for your replies! A straddle is one simple example. I'd recommend this over using VIX derivatives because the...
@hlpsg Sorry for the delayed answer. I don't want to hedge the vol risk between the two months. At the expiration of the front month only...
@MTE Thanks for your reply. I'll try to do it per SPX Options but I think it won't work :-(
Hi GRG, changeing the put to a synthetic stock or put spread whould change the payoff and also delta/theta. My intention is to hedge the vega...
@MTE I did some backtests and "it's really far a way from a perfect hedge" and therefore I thought that I missed something. So no chance to...
Hello, is it possible to hedge the increase (or decrease) of a SPX put's implied volatility with a VIX option? Eg. SPX Jan 1050 put - what VIX...
Hello xflat, thanks a lot for your answer. So when trading different expirations (eg calendar spread) you also would take the same date:...
... noboday knows what expiration date to use in a option calculator for SPX options??
Hello, what expiration date is used to calculate the greekr & IV of SPX options? Last trading day is normally the thursday; settlement value...
https://www.interactivebrokers.com/smf/index.php?topic=52247.0 Lookslike one guy (quantivity) found the algorithm. For long time I'm looking...
@MTE Thanks a lot for your reply. Just wondered if SPX options are influenced by S&P 500 dividends cause implied vols at same strikes/exp....
...or is the S&P 500 (underlying of SPX options) regularly adjusted for dividends?
Hello, I just recognized that at some websites with option chains there are different implied volatilites for calls and puts with same strike...
Separate names with a comma.