OTM VIX Options at expiration

Discussion in 'Options' started by dqtmg2, Oct 15, 2007.

  1. dqtmg2


    Anyone here trade VIX options to expiration? I am wondering how much time value OTM options lose the last day of trading? For example, VIX is at 18.2, assuming it stays there how much would the Oct 19 Call be worth near the end of trading tomorrow. I am guessing it will still retain some time value due to the way the expiry is handled on VIX.
  2. rickf


    I only traded VIX options once and it was a small bull put spread this past summer....it was my first BPS, actually, and yes, it was profitable. However, since there are others here who have written how goofy the VIX options are to trade, I suggest reading those informative spreads before jumping on in. There are a bunch of websites and blogs dedicated to VIX trading as well that you might want to Google for.

    Now, this close to expiration, frankly I'd prefer doing a credit spread that says "as long as ABC is above XYZ and expires worthless I profit" than try and pick what ABC will be at expiration. At least that way if you're wrong and ABC goes against you, you might still be able to make some money depending on where it settles.
  3. dqtmg2


    I'll answer my own question in case anyone else wants to know in the future. The VIX closed today at 20.05 the 20 calls still have 0.45 in extrinsic value, the 19 calls have 0.15 in TV, everything else was at 0.05 or less. The bid ask seemed to narrow later in the day from 0.15-.2 earlier, down to .05-.1 at the close.

    I had already read the other VIX threads and blogs.