dmo - I thought the video was really very good. Professional, good information, nice content screens, and little wasted time. Thanks for putting it together. As for comments (since you asked), it begins with very basic concepts like strike prices, then goes into Gaussian distributions and volatility. I'd say a viewer who is new to the basic concepts of service contracts, how a call works, etc. would be lost when the video moves to Gaussian distributions and IV in the span of 15 minutes. That is, a total novice needs a lot more basic info, and the intermediate trader doesn't need to hear the basic stuff. Both parts of the video are good, but probably too much for a single video and could be divided for different audiences. For follow-up video subjects, I'd say discussion on strategies to capture volatility mispricing would be logical.
Thanks for another great video presentation. As I was watching it, I checked on my IB Trader Workstation, and sure enough, they are basing the VIX options off the cash index instead of the futures. How do you correct for this? Is there a source of quotes that will do this, or do you have to do mental arithmetic gymnastics of the "olympic" order to make the right calculations. Seems like a credit spread on the VIX (futures) options might be an interesting play to learn upon, but how does one calculate their Greeks ?
As Wayne stated above, the VIX options are marked to the VIX futures. They are not fungible, but they trade zero-arb against the futures.
In a post today, Bill Luby at http://vixandmore.blogspot.com/ confirmed my suspicion that the SEC/CFTC regulatory split is responsible for the brokerage companies erroneously using the cash VIX instead of the futures as the underlying for the options. Forget mental gymnastics to correct for this, you simply to need to calculate it correctly from the start using the correct inputs. As Wayne noted above, Hoadley is ideal.