3
votes
1answer
2k views

When the Inverse Correlation between the SPX and VIX breaks down

As we all know the S&P and its implied vol, the VIX, generally move in opposite direction. To a large extent, the correlations makes sense. IV is one of the main drivers of the price of options, ...
5
votes
2answers
923 views

VIX = Vega of S&P500 options?

ok, so let assume I can predict the daily change in the VIX itself (in points) every day. what would be the best way to play this with OPTIONS? well, obviously VIX options, but if I can look at the ...
1
vote
1answer
296 views

Calculate historical (ATM) option prices with public data

I just saw the question How to calculate the most realistic historical option prices with additional publicly available parameters and I am interested in the step before that. How can I calculate ...
5
votes
1answer
315 views

What are VIX back-month futures based on?

The VIX calculation is a weighted average of prices for front-month out-the-money options on the S&P index. So for VIX futures, this makes sense for the front month vix futures (being based on a ...
2
votes
0answers
252 views

vix futures vega per contract and tvix vega per share

How much vega in spx terms (straddle contracts) or dollar value is in 10 vix futures contacts and 10000 shares of tvix
4
votes
1answer
777 views

If VIX is the Implied Volatility of SPX, 30 days in the future, how many days into the future does VIX vol look?

Question: if VIX is the Implied Volatility of SPX, 30 days in the future, how many days into the future does VIX vol look? +60 or +30? Lets see if I'm on the right track: Premise 1: VIX is the ...