On Aug 15 & Aug 16 pre-market, the VIX spot index was mostly around 12 and below 12. But just before market open the VIX spot index shot up. The final settlement price hit 12.95, of which the spot index has never reached that level. Does anyone have any idea what happened to the VIX? Is that purely final settlement price manipulation? It seems to be a surprise that people can move the final settlement price by almost 1 volatility point.
The settlement price is based on the opening price of the September monthly options in the SPX. There was large buyers of the options this morning, especially the out of the money puts, which caused them to open very high, thus marking the VIX settlement price up. You can actually see and participate in this opening as a customer. One of the few true edges out there that is available to a customer. http://cfe.cboe.com/market-data/settlement/hoss-information The above site will list the imbalances around 8am ct on the day of the ViX expiration. Today I was seeing imbalances of around 5,000 contracts on many of the out of the money puts. For example options that were offered at .15 the day before opened at .35. (and where at .15 again right after the opening) Not sure if you call this manipulation or not. If someone wanted to mark the index up like this, he would have to buy 50,000 to 100,000 SPX options, at prices much higher than they should be.
^ decent thread on this. Also there's that whole VIX manipulation speculation going around this year as well: https://www.bloomberg.com/view/articles/2017-05-24/vix-trading-hoaxes-and-blockchain
Have to disagree with Ahser Newcomer's tweet that it should be opened up and then the problem will be solved. He is wrong here, as it is already the case. The SPX opening that determines the Vix settlement is not restricted to exchange members and is open to all. Imbalances posted early so that everyone can know where the SPX options will open and participate in the opening to by or sell under/over valued options.