SPX is down 14% from ATH, but the VIX has barely got going. Based on VIX's historic beta relative to SPX, this should be above 30 now, at least....
I'm looking for a model that computes the expected VIX based on SPX price moves. For instance, SPX is currently at around 2650, and VIX is at 24....
I've been looking for information on how to price an ATM 1-2-1 butterfly spread, and I haven't been able to find anything useful so far. All else...
Buying straddles before earnings is a well known non-directional trade that seeks to benefit from increasing IV and/or a move in either direction....
Separate names with a comma.