Observation regarding VIX futures options so far in 2018

Discussion in 'Options' started by MidwesternTrader, Jul 13, 2018.

  1. Summary: In 2018 when the VIX closed below 15.00 on a Friday, purchasing the nearest out of the money VIX call futures option with an expiration date two Wednesdays in the future has been net profitable.

    Just a little research to share. So far in 2018 there have been 13 Fridays when the VIX has closed below 15.00 similar as it did today.

    When comparing the CBOE's VRO settlements two Wednesday expirations in the future , the VRO has settled higher 10 times, lower 1 time with the 7-6 and 7-13 VIX under 15.00 closes occurrences to be determined.

    Those VRO settlement amounts in excess of the paired Friday VIX closes results were: +2.44, +1.45, +2.21, +18.05, +11.10, +1.14, +2.75, -.41, +.87, +3.89, +.72, TBD (July 6th close) and TBD (July 13th close). An average of +4.42 for the 11 known results. Numbers in green bold above likely yield profits if you had purchased the nearest out of the money VIX call option two Wednesday expirations in the future. I understand the VIX and the CBOE's VRO settlement are slightly different measures, but the ballpark estimate of which instances would produce profits is probably good.

    There were 16 instances when the VIX Friday closed above 15.00. 12 of those instances the CBOE VRO settlement closed below the VIX close with only 4 closing higher when comparing the nearest out of the money VIX call option two Wednesday expirations in the future.
  2. Random
  3. Without researching it, I would guess there may not be 10 instances of this occurring over the two year span from Jan 1. 2016 to Dec. 31 2017.
  4. Does not mean it's not random... By all means call a trade out and take it
  5. I seriously doubt the +18.05....
  6. I would guess random as well. Data mining.
  7. I purchased a couple of the July 25 12.50 calls in the morning at $1.40 each just to get a little skin on it.

    I don't necessarily think making bets on VIX calls or puts is what's important. More so seeing some new dynamics in the market in general compared to the past several years is what's probably more noteworthy.
    Last edited: Jul 14, 2018
  8. Purchasing a near out of the money FEB 7 expiring VIX calls at end of day JAN 26 should have netted close to this upon the European option cash out received.
  9. Question - so the increase in the average price oscillation in the VIX during 2018 would be a trend, but seeing larger average gains on Fridays VIX purchases versus Monday, Tuesday, Wednesday or Thursday purchases (not even sure if that is accurate, just an example) would be attributed to randomness, right?