Quantitative Finance Stack Exchange is a question and answer site for finance professionals and academics. It only takes a minute to sign up.
Sign up to join this community
VIX ATM options seem to have delta that is very far from .5 (.18/.82 for 60dte now) with .5 being in 30 territory.
Why is this very different from stock options? Why is atm put much less sensitive to the underlying change comparing to a typical stock?
It is the at the money forward (ATMF) contract rather the at the money (ATM) contract that has roughly 0.5 delta. For stocks the difference is not so big between the ATMF and ATM contract since $F = Se^{(r-d)t}$. However, this is not the case for VIX. For example, the forward (future) of VIX is now around 30 for the April contract (which has 63 days to expiration) versus 22.81 for the February (which expired today).
