vix option negative premium

Discussion in 'Trading' started by stevenw, Jan 23, 2008.

  1. stevenw

    stevenw

    anyone notice vix 30c is 2.1 but vix is 32.8, why call has negative premium?
     
    #1     Jan 23, 2008
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  2. MTE

    MTE

    That's because options are not priced off the VIX, but VIX futures.
     
    #2     Jan 23, 2008
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  3. stevenw

    stevenw

    IB did not offer future vx?
     
    #3     Jan 23, 2008
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  4. MTE

    MTE

    I don't know, but my guess would be they do. It's beside the point though. VIX options are priced off VIX futures hence you cannot use the VIX index to determine the intrinsic value of a VIX option.

    * Mods this clearly belongs in the Options forum, mind moving it there?
     
    #4     Jan 23, 2008
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