Do VIX options have any delta at all?

Discussion in 'Options' started by loufah, Jun 22, 2006.

  1. With VIX at $15.70, July $12.50 calls were $3.00x$3.40. With VIX up to $16.45, the options are up to $3.20x$3.60. My platform says delta should be 1.00, but obviously the price seems to have little to do with that. And the July 10 calls have been $5.60x$6.00 all day. How do people trade these things if they have no relation to the underlying?
  2. If your platform is TOS, then it's also NOT showing an IV for the 12.5 strike. Therefor I would assume that the delta and other greeks for that strike are not to be relied on.
  3. IBsoft

    IBsoft Interactive Brokers

    They do have relation to underlying and they do have delta (although I am not sure your platform displays correct values). The underlying of these options is the VIX future, not the VIX index.