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]

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3 comments:

  1. JohnOctober 8, 2008 at 5:11 PM

    Wow... Repeat after me...

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

    Living in the land of them...

    ReplyDelete
  2. AnonymousOctober 9, 2008 at 5:40 AM

    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?

    ReplyDelete
  3. Bill LubyOctober 9, 2008 at 6:32 AM

    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

    ReplyDelete