Couple of basic questions:

1- I'd like to calculate the implied of VIX options intraday, without access to intraday VIX futures. In the absence of VIX futures as underlyings, what would be the pitfalls of backing out the underlying forward prices using Calls - Puts + strike, and using these synthetics in my IV calculation?

2- Even in a case where futures are available, I noted that sometimes a couple of contracts on the term structure are just missing values (even from CBOE website) while options with matching maturities still trade. What would be an explanation?

Thanks in advance!

  • $\begingroup$ No one wants to answer this? I do not see any reason why you could not use Put Call Parity to calculate the Forward from VIX options, just as is commonly done for all kinds of options. $\endgroup$
    – noob2
    Mar 19 at 13:38
  • $\begingroup$ As to the second question, there is not necessarily a futures contract for every option maturity. For example for S&P options, the May options deliver into the June futures (there is no May S&P contract). Probably something similar explains your observation about VIX options (although it is hard to say without more detail about what you saw). $\endgroup$
    – noob2
    Mar 19 at 13:41
  • $\begingroup$ Crux of people's reluctance isn't the pricing of forwards intraday, but the "vol of vol smile" :-) It's the difference in pricing of the 15 strikes versus 25 versus 35 versus 45, 55.... that has everyone worried to attempt to answer. PC parity will apply at each of these; but at different vols at each, that are themselves vol-squared vol. Given any VIX option will always relate to an associated VIX future, I suspect people are worried answering any question about anything so volatile that maybe seems a little unfamiliar with the financial WMD they're handling. $\endgroup$
    – demully
    Mar 19 at 22:04

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