I have been trading the Vix futures then options for 3 years. made 10 fold the initial investment. The market is changing, some strategies working with a vix at 10 or 12 dont hold anymore. But one thing has to be kept in mind : vix is mean reverting. From that many stratgies can be drawn even in a "special" market like the one we are living right now....
as for greeks applying to vix options... they do, as long as you use the right model (not B&S, not black or any traditional models...), some research is becoming available on the net. But from it you"ll need to be able to program the model, calibrate the model and then be able to generate greeks in realtime. If you are able to do that all by yourself, I guess you already have a quant job in a good shop.
Is there a place for historical data on the underlying futures price for the options? The CBOE seems to only put out the historical data by expiration month, and it would be a pain to reconstruct the historical underlying from that.
Your post was more of a rhetoric than a q besides why do you take everything so seriously. You must realize that some people are here for entertainment. What is it exactly that you'd like to know about the vix derivs that hasnt been said already?
Rearden, you should look into the futures, tighter spreads 10x the size. The risk is different somewhat but not anything that someone with your bankroll cant handle.
what was the reason to make such a complex product ? Why not keep it simple like stock at nominal X trading under vols of Y ? It would be like an owner of the business saying " I will come up with the product that only 5% of my existing customers can understand (hence , buy from me)...because I am so smart..." Congrats to all those that solved this puzzle and making killing on vix.
I guess the launched options on the forward VIX instead of the spot VIX because VIX is mean reverting. Imagine options on the spot VIX with a VIX at 35 (like thurday...), what would everyone do... buy long term puts or sell long term calls, knowing that eventually the VIX will trade lower than 35. In such a case, who would be foolish enough to take the reverse trade? There would be no market, and the product would have died very quickly.
Isn't it a wee bit tougher than that? Granted, 35 is a bit extreme, but in the late 90's and early '00s we had years, almost, of the VIX being over 20, and we just finished a long period when it was under 20 and even months when it couldn't manage to make 15. So, defining that mean it reverts to is, seems to me, kind of hard.