tag:blogger.com,1999:blog-897456774486153841.post5741469759279407578..comments2024-03-28T06:07:36.391-07:00Comments on VIX and More: A Week in the Life of VIX CallsBill Lubyhttp://www.blogger.com/profile/01241003017364820134noreply@blogger.comBlogger1125tag:blogger.com,1999:blog-897456774486153841.post-49093036515702876912008-10-03T03:46:00.000-07:002008-10-03T03:46:00.000-07:00Interesting... With single strike stocks, vol fall...Interesting... With single strike stocks, vol falls and calls tend to lag what one would expect from a delta perspective. i.e. 100 delta calls don't keep pace with the underlying point move.<BR/><BR/>With the Vix a measure of vol, and vol clearly going higher... I would have expected a different result, but I guess the vol of the Vix, as well as the gamma might be more like a futures contract on currencies or commodities where the leverage to the contract behaves differently as price goes up.<BR/><BR/>Your future posts on this are going to make for great reading... So much for Vix calls being a good hedge for the SPX... Something I have felt is not a good idea despite one of you recent posts... Too low a correlation at times, and too difficult to tell what your delta hedge is at any point.Johnhttps://www.blogger.com/profile/08474747770976362426noreply@blogger.com