VIN, VIF and an Obsolete VIX
Mark Sebastian at Option Pit has an interesting post up, Could the VIX Become Obsolete? that I suspect VIX and More readers will enjoy pondering. In it Mark argues that because of the VIX calculation...
View ArticleThe Convergence of VIX and VIX Futures at Expiration
VIX futures and options expire 30 days prior to the expiration of options in the S&P 500 index for the following month. With the September SPX options expiration set for September 16th, this means...
View ArticleHow Can the VIX Be 14 and Lower than VIN and VIF?
Many novice and advanced VIX followers are scratching their heads today, wondering why the VIX is down more than 5%, hovering around the 14.00 level, when the SPX is down 0.4% and all the major market...
View ArticleThe VIX, Interpolation and the Roll
Almost every month, some subset of the class of investors and journalists expresses extreme alarm when the VIX magically plummets on the Monday before the standard monthly options expiration that...
View ArticleLowest VIX Close Since Day Before Biggest VIX Spike Ever
I’m generally not one for sensationalist headlines, fear-mongering or otherwise stirring up trouble unnecessarily, but when facts line up in a manner that I know others will find interesting, I do feel...
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