Wow! A huge selldown on no news! This might be the crash brought on by nothing! Q:What was the crash of 2007 like grandpa? A: Oh some chinese market lost 10% in a day and then there was a bust! Gotta laugh
I was wondering if someone could explain how the VIX will adjust as it approaches expiration. Basically what I'm referring to is for example the March 11 Calls are @ $4.1 while the VIX is @ 15.96, when the VIX was @ 18+ the March 11's where still around $5. When the options approach the settlement date will the calls increase in value to match the VIX? Eg. If the VIX were at 17, would the Calls be $6? Thanks,
It is more than likely for VIX spot to converge down to the VIX future at settlement under a flat or up market. Your vix calls reflect the value of the vix future which will likely not rise any further unless we continue to selloff. Track the front month vix future for a better idea of what your calls will settle to. If VIX settlement were tomorrow and we opened flat, i'd give it a 15ish set, right where the vix future is, give or take a quarter. I would unload the calls unless you expect continued selling.