Tuesday, July 10, 2007

Today's VIX Readings are Relatively Tame

So far, I am not impressed by the 11% move in the VIX, which is currently trading a little below the intra-day high of 16.87.

It is going to take a VIX of at least 18.42 to move the VWSI to -6 and get me into the VIX options game today. At 16.77 we are currently still at a VWSI of 0.

The larger question, at least for me, is whether the recent pattern of higher lows in the VIX means we are ushering a new volatility trend. So far that is what it looks like, but I'd like to see at least one more month of data before I jump to any conclusions.


Isam Laroui said...

Correct me if I'm wrong but isn't this a big booboo by McMillan in Barron's:
"When they expire (VIX options), they settle to the price of the index."
Don't they settle at the VIX futures settlement price and NOT the VIX index?

Bill Luby said...

Good questions, but I think McMillan got this one right. I cite the relevant CBOE source data in comment #5 here.

Isam Laroui said...

I stand corrected. I'm glad I asked.
Thanks a lot for the info.

Anonymous said...


thought you'd be interested to know that 80,000 NOV 12 puts were bought for .20 today in the VIX

Bill Luby said...

Fascinating transaction, big doggy. Thanks for the heads up. Frankly, I consider a large purchase of Nov 12 puts to be one of the most interesting VIX options plays I've seen.

Do you have any thoughts on this one? What is the chance that this is just one leg of a position?

Anonymous said...

Also the July 20 call 80K, Aug 25 Call 80K were traded yesterday(11 July)

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