Wednesday, October 8, 2008

VIX October 70 Calls Last Traded at $0.50

Below I have attached a snapshot of the VIX October options, courtesy of optionsXpress, just as the VIX was making a new all-time high of 58.92. There are some amazing numbers in this table, which I am capturing here for archival purposes.

[source: StockCharts]

3 comments:

John said...

Wow... Repeat after me...

F-A-T-T-A-I-L-S

Living in the land of them...

Anonymous said...

The I.V. for the Vix cash index put options are horrendous. For example, the implied volatilities for the October 50, 55, 60, 65 and 70 puts are 288, 316, 344, 373 and 399. The I.V.'s for the November Vix cash index 50, 55 and 60 put options are 280, 301 and 319. How can one profit on VIX put option contracts that have very high I.V.'s?

Bill Luby said...

Anon,

A good was to look at high IV bearish (at least on the underlying) bets is with a bear call spread, where at least you can have time decay on your side and control risk at the same time.

Cheers,

-Bill

DISCLAIMER: "VIX®" is a trademark of Chicago Board Options Exchange, Incorporated. Chicago Board Options Exchange, Incorporated is not affiliated with this website or this website's owner's or operators. CBOE assumes no responsibility for the accuracy or completeness or any other aspect of any content posted on this website by its operator or any third party. All content on this site is provided for informational and entertainment purposes only and is not intended as advice to buy or sell any securities. Stocks are difficult to trade; options are even harder. When it comes to VIX derivatives, don't fall into the trap of thinking that just because you can ride a horse, you can ride an alligator. Please do your own homework and accept full responsibility for any investment decisions you make. No content on this site can be used for commercial purposes without the prior written permission of the author. Copyright © 2007-2013 Bill Luby. All rights reserved.
 
Web Analytics