VSTOXX Delta & Gamma

Discussion in 'Options' started by NewIdiot, Dec 28, 2017.

  1. NewIdiot

    NewIdiot

    Hi,
    I'm sorry in advance for asking dumb questions.

    My broker (Interactive Brokers) doesn't list the Delta for VSTOXX V2TX Volatility Options on the Euro Stoxx 50. I know that the VIX options on the American Exchange are also constantly wrong because it goes off the Spot Index and not the futures.

    Where can I find a delta and gamma for the VSTOXX options? They are American style not European like Black-Scholes.

    Also is there a difference between
    a) VSTOXX® Options (OVS)
    and
    b) Options on VSTOXX® Futures (OVS2)

    I noticed there isn't this different types for the CME VIX Options. Thanks so much for your help.
     
  2. sle

    sle

    Vstoxx options are European
     
  3. NewIdiot

    NewIdiot

  4. sle

    sle

    Well, in that case IB is confusing options on the VSTOXX futures with options on the index. Eurex contract spec for the index explicitly says:
    In any case, making a cash settled option on vol index American makes it a bit weird for market makers as it introduces a very strange path dependency. But that's besides the point.

    Now, options on VSTOXX futures are American. However, you get the futures contract when you X, so the only reason to do so if your option is DITM and you missing out on the margin interest.

    PS. To answer your question, futures options are margined (no premium outlay) while index options are premium/PM margined. That and a few more things are different.
     
    Last edited: Dec 30, 2017
  5. NewIdiot

    NewIdiot

    Where can I find the delta and gamma for these?
     
  6. vegamedic

    vegamedic

    call your broker and ask. you'll get a better answer (platform specific, ability to walk you through step by step) than here