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VIX and Volatility General Discussion

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VIX and Volatility General Discussion

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  #101 (permalink)
Paris, France
Posts: 2 since Feb 2021
Thanks: 0 given, 8 received

ajk1 View Post
Just came across this great thread ! Thanks for that!
One clarification please
"VIX options are not the ViX, they are essentially VIX options on futures. This is an unfortunate nomenclature confusion that has brought many a person to grief. The VIX is an index, not a product, and is also known as Cash or Spot."
What do you mean by VIX options on are on futures ? There is such thing as VIX options on the cash/index right ?

You get paid out on a cash value of the VIX settlement at expiration, so the options are priced based on the expected value of the VIX at the expiration date. That value is represented by the VIX futures. The practical importance is that when spot vix falls or rallies, the forward price reacts much less and the options move less too. Partly that's driven by liquidity and partly by the fact that mean reversion is being priced into the curve.

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