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VIX and Volatility General Discussion


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VIX and Volatility General Discussion

  #121 (permalink)
 
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 suko 
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Erikie View Post
The primary product is the VIX and I have never seen the implied volatility in the vix lower then 8
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8 was quite shocking when it happened a couple years back, and it could happen again with the CB's actions, etc. VIX spends much more time at 12, though.

The mode of VIX is somewhere in the range of 11 to 13 and this is the range that people intend when they say it's mean reverting.

It's now headed back to 12.


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  #122 (permalink)
 
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 shodson 
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Well, look at that! I guess I'm wrong, at least for the current market. I guess since the VIX can explode violently to the upside, this would rapidly reward call buyers. The VIX rarely goes down as fast as it can go up, unless it's returning from the highs if an extremely volatile and uncertain event, like an election with an unknown outcome.


Dreadwind View Post
I'm a little confused about this. Looking at the options pricing on UVXY I see that IV and price are much higher for OTM calls than puts. This makes sense to me as the UVXY will tend to make slow and steady moves down but sudden and violent moves to the upside. This is the opposite of most stock or index options which would price OTM puts much higher as the risk is for sudden moves to the downside.

Am I missing something here or possibly getting bad data from Fidelity?


UVXY


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  #123 (permalink)
 
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 Erikie 
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Sorry yes never below 8. It means a 30 days expected 0,5% volatility. 2017...


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  #124 (permalink)
 
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 Erikie 
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I think in 2017 the S&P only 1 time went down more than 1% intraday.


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  #125 (permalink)
 
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 Erikie 
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What are the adjustments when vxx got a reverse split? Size, strikes, multiplier


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  #126 (permalink)
 
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 suko 
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Here we are, 20 days out and almost 3 points over spot. We should be at 1.5 or less. So there is a huge premium in M1 still.

Screen Shot 2021-03-29 at 9.46.46


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  #127 (permalink)
FinTrader1
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suko View Post
8 was quite shocking when it happened a couple years back, and it could happen again with the CB's actions, etc. VIX spends much more time at 12, though.

The mode of VIX is somewhere in the range of 11 to 13 and this is the range that people intend when they say it's mean reverting.

It's now headed back to 12.

That was epic when it was that low. You think well get there again or how soon?

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  #128 (permalink)
 
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 Erikie 
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FinTrader1 View Post
That was epic when it was that low. You think well get there again or how soon?



I do not think so. In 2018 the structure of the VIX changed a bit but permanent. Because of higher realised vol on one hand but also in periods of lower realised vol the implied was higher. I think models are more sophisticated and more premium will be paid for intraday gamma.


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  #129 (permalink)
 
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 suko 
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FinTrader1 View Post
That was epic when it was that low. You think well get there again or how soon?

I think we'll see a VIX 80 sooner than 8.


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  #130 (permalink)
 
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 suko 
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I love this ZH headline:

"We're Going To Need More Cocaine" - Cboe Plans To Launch
24-Hour-A-Day Trading In VIX, SPX Options

https://www.zerohedge.com/markets/were-going-need-more-cocaine-cboe-extends-vix-
spx-options-trading-24-hours-day


"The planned expanded GTH session would commence at 8:15 p.m. ET and
run until 9:15 a.m. ET the following morning. Regular trading hours
(RTH) then run from the U.S. market open at 9:30 a.m. ET until the
market close at 4:15 p.m. ET. The RTH session will also be followed
by a new curb session – an extra half hour session for electronic
trading beginning at 4:30 p.m. ET– which will be added Monday
through Friday in the third quarter of 2021. For each Monday
business day, trading in GTH would begin Sunday evening."


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Last Updated on May 27, 2021


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