I was wondering about disentangling an effect I saw on the market yesterday. I saw nearly all OTM VIX put options with maturity date 15/04/2020 decrease in value while at the same time the VIX took a sharp downfall. What would you give as possible reasons given current market conditions? And, how would you investigate such effects to understand it?
Yes, the VIX took a sharp downfall on 2020/03/02, from 40.11 to 33.42 (-6.69).
But that is not what the 2020/04/15 Put options are based on, they are based on the 2020/04/15 VIX Futures (VIJ20), these went from 23.025 on 2020/02/28 to 23.325 on 2020/03/02 an increase of 0.3.
The Vix options are based on the futures, not the spot Vix value.