Man TRON was a real good movie! anyhow when I got back home closed half my short put positions for a nice fat profit Lets see if we get another little jump so I can get back in on the other half. I never did get filled on those long GLD puts though.
i belive low volatility on vix is about made. It is possible to see vix moe back to way it did 20008 if we haVE A SHARP SELLOFF
Thinking spx sees a touch of 1260 first, but I would be somewhat giddy if they pushed the vix above 20 before xmas, fairly low probability of that though.
So are you saying that they went in and adjusted the old VIX numbers using the current formula for calculating the VIX? If not then I don't think you can compare the post VXO VIX #'s to the Pre VXO VIX #'s as they are not based on the same criteria. I was trading options on the VIX at the time and didn't notice any adjustments made to the historical #'s.
No, they just started calculating the VIX the new way, but recalculated it back as, I suppose, a public service and published the results. Actual CBOE text on this below: Link here: http://www.cboe.com/micro/vix/introduction.aspx Historical prices here: http://www.cboe.com/micro/vix/historical.aspx
I started trading options on the VIX when they first came out. I noticed that the near month calls were selling for more than the far month calls. I thought I had found a sure thing with a pricing error and bought spreads selling the near month and buying the far month, assuming at expiration of the near month calls the far month calls would be worth more because of the time premium left. Well it didn't work out that way at first with the near month calls going up in price and the far month dropping. I got cold feet and closed the trade when I got back to even.
Because VIX options are European style! American and European options The key difference between American and European options relates to when the options can be exercised: * A European option may be exercised only at the expiry date of the option, i.e. at a single pre-defined point in time. * An American option on the other hand may be exercised at any time before the expiry date.
It's because different VIX futures are related between each other by root-time. So, UX1 vs UX2 "beta" will be around 1 + sqrt(1/12) ~= 1.3