tag:blogger.com,1999:blog-897456774486153841.post4897431689275218476..comments2024-03-28T06:07:36.391-07:00Comments on VIX and More: Fireworks Forecast for the Next Few DaysBill Lubyhttp://www.blogger.com/profile/01241003017364820134noreply@blogger.comBlogger4125tag:blogger.com,1999:blog-897456774486153841.post-65810513724820335552007-09-18T07:37:00.000-07:002007-09-18T07:37:00.000-07:00Addendum:JC, the IV screener comes from optionsXpr...Addendum:<BR/><BR/>JC, the IV screener comes from optionsXpress, which has an excellent of options-related tools.Bill Lubyhttps://www.blogger.com/profile/01241003017364820134noreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-57666886275237847202007-09-18T07:24:00.000-07:002007-09-18T07:24:00.000-07:00Good stuff, JC. Thanks. I found the second artic...Good stuff, JC. Thanks. I found the second article particularly interesting -- and one that applies to me.<BR/><BR/><BR/>Anon,<BR/><BR/>Since I do not trade VIX futures I had to research the answer to your question. As best as I can determine the short answer to your question is 'No.'<BR/><BR/>VIX futures settlement prices are determined by the <A HREF="http://cfe.cboe.com/Products/settlement_VIX.aspx<br/>" REL="nofollow">Special Opening Quotation of the VIX</A> (the same one that is used for options), which does not necessarily correlate with the opening price for the VIX index. <BR/><BR/>In their discussion of <A HREF="http://cfe.cboe.com/Products/Rollinfo.aspx" REL="nofollow">rolling positions</A>, the CFE (CBOT Futures Exchange) even goes as far as to caution "in order to avoid exposure to a <I>potentially substantial difference between the final settlement value for VIX futures and the VIX index level</I>, investors holding speculative, or un-hedged, VIX futures may wish to either close out their positions or roll to another contract month prior to settlement..." <BR/><BR/>You can find the previous VIX futures settlement values <A HREF="http://cfe.cboe.com/Products/settlementvalues_VIX.aspx" REL="nofollow">here</A> if you wish to do some additional analysis.<BR/><BR/>Thanks for the questions. The more people ask, the more I learn.<BR/><BR/>One final note. I spent part of my honeymoon in Switzerland (Montreux, Grindewald, etc.) and my wife and I can't wait to go back.<BR/><BR/>Cheers and good trading,<BR/><BR/>-BillBill Lubyhttps://www.blogger.com/profile/01241003017364820134noreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-39834802643174133362007-09-18T04:13:00.000-07:002007-09-18T04:13:00.000-07:00Hello, I just have question ... does the vix futur...Hello, I just have question ... does the vix futures settle at the same price than the index ? <BR/><BR/>Sory for my english !! from Switzerland !!Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-897456774486153841.post-20818088841093107272007-09-18T03:56:00.000-07:002007-09-18T03:56:00.000-07:00Bill,Great post. What tool / service are you usin...Bill,<BR/>Great post. What tool / service are you using to universe sort on implied vol?<BR/><BR/>Thought you would like these two links<BR/><BR/>http://www.google.com/trends?q=VIX&ctab=0&geo=US&date=all&sort=0<BR/><BR/>http://www.ithaca.edu/buzzsaw/0203thrill.htm<BR/><BR/>Should be a fun day..<BR/><BR/>JCBeta Data Bloggerhttps://www.blogger.com/profile/06994564930976452102noreply@blogger.com