Anyone know why VIX Calls shed so much weight today? I'm not familiar and was just looking today and see that the Calls lost quite a large percentage while the VIX went up .54 to 13.30. Cheers and thanks.
Vix options are settled against VIX futures AFAIK and the VIX we see quoted in articles and our quote screens is a cash quote. Forward IV is often priced different from cash IV.