Vix mark

Discussion in 'Options' started by FSU, Jan 17, 2018.

  1. FSU

    FSU

    Seeing huge bids on out of money SPX puts, suggesting a VIX markup this morning. We will see.
     
  2. Which strikes/expiration? I am interested to see if the volume/open interest actually moves.
     
  3. FSU

    FSU

    Mark is 12.61. It is based on the Feb monthly expiration opening prices in the SPX. I was seeing 5000 lot bids for the out of the money puts. Puts that went out at .05 yesterday, opened at .25 today. These big bids skewed up the mark.

    You can see the exact strikes on the CBOE web page, but basically it was around the 1500 to the 3100 strikes
     
    JackRab likes this.
  4. Interesting...Skew is pretty low right now, maybe this will bring it back up.
     
  5. I see 7141 contracts bought at Feb 1650...I wonder why anyone will do anything so stupid. It is not going to trade there. Even the bears here will agree with that.
     
  6. sle

    sle

    Sorry, what? The skew is pretty rich, imho - look at Feb or Mar Sk10 vs historical
     
    samuel11 likes this.
  7. Somebody is making nice in the budget negotiations.

    I hate them. :mad:
     
  8. sle

    sle

    I have no idea how they calculate this, so I can't comment. The accepted are showing up as pretty rich - for example, SK10 is at 95th percentile. It should be intuitive, though, as at these levels of vols, the skew has to be rich - people would happily sell ATMs because realized is so low and yet lower strikes are well bid because protection is relatively cheap.

    PS. SK10 - take implied vol for 90% strike minus implied vol for 100% strike and multiply by square root of time to expiration. It's a fairly standard way of expressing the skew and is self-consistent both along the time axis (since you normalize it via time) and across assets
     
    JackRab likes this.
  9. Still seeing it as low.
    upload_2018-1-17_14-1-55.png
     
    #10     Jan 17, 2018