tag:blogger.com,1999:blog-8608774547701042310.post4002176401473039284..comments2024-02-03T19:12:57.201-05:00Comments on Volatility Futures & Options: How To Manipulate VIX Settlement Priceonlyvix.blogspot.comhttp://www.blogger.com/profile/13947069891082111297noreply@blogger.comBlogger12125tag:blogger.com,1999:blog-8608774547701042310.post-11088563982797531772017-02-15T17:51:06.245-05:002017-02-15T17:51:06.245-05:00Does this still hold? ...must be, I guess.
Does an...Does this still hold? ...must be, I guess.<br />Does anybody know anything on the regulatory side of this? Are their penalties / did licenses get revoked (or worse) etc.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-8608774547701042310.post-52612005907669443482015-09-14T08:38:09.487-04:002015-09-14T08:38:09.487-04:00Any update on this issue?Any update on this issue?Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-8608774547701042310.post-87286944043361165092012-12-20T17:28:11.386-05:002012-12-20T17:28:11.386-05:00Excellent analysis - after losing quite some money...Excellent analysis - after losing quite some money due to unexplainable jump of VIX before Wed open, I am definitely not trading VIX anymore.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-8608774547701042310.post-80544209078466508462011-12-02T13:40:53.898-05:002011-12-02T13:40:53.898-05:00That is not correct MGK - offer will automatically...That is not correct MGK - offer will automatically be there because market makers are required to quote options. They can make markets really wide, but the offer will be there. So the only requirement for a strike to participate in VIX calculation is for it to have a bid. <br /><br />And yes, you will have to post bids for several consecutive strikes.onlyvix.blogspot.comhttps://www.blogger.com/profile/13947069891082111297noreply@blogger.comtag:blogger.com,1999:blog-8608774547701042310.post-89681321530147573602011-12-02T10:29:30.000-05:002011-12-02T10:29:30.000-05:00Only out of the money options with a bid and ask p...Only out of the money options with a bid and ask price are used for calculation. So you can't just come as a buyer at an unreasonable price and influence the VIX. You have to be a seller at the same time. And you have to post prices for every strike available or the following aren't included either.MKGhttps://www.blogger.com/profile/06423277383772397776noreply@blogger.comtag:blogger.com,1999:blog-8608774547701042310.post-70695144837366062772011-10-11T15:49:50.231-04:002011-10-11T15:49:50.231-04:00"expiry" is a verb?... In any case, plea..."expiry" is a verb?... In any case, please do reread my comment till you understand what I'm saying.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-8608774547701042310.post-20841016620513665532011-10-10T10:45:41.561-04:002011-10-10T10:45:41.561-04:00Non-traders often make remarks like this.
Yep, th...Non-traders often make remarks like this.<br /><br />Yep, this must be coming from a pro. These options expiry into CASH. <br /><br />There is no economic or operational reason as to why someone would pay more for a lower priced strike UNLESS they were marking the VIX close.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-8608774547701042310.post-45263031231922806232011-10-07T14:45:03.027-04:002011-10-07T14:45:03.027-04:00"the price for the 100 has to be lower than t..."the price for the 100 has to be lower than the 500..."... Non-traders often make remarks like this. In fact, a manager with old low-strike option positions might need to clear them off to get an account exactly flat, perhaps so he can redeem the account proceeds or move them to a different broker. If he's short the 100 strike, that's the exact option he has to buy for this purpose, and he has to pay cabinet regardless of economic value.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-8608774547701042310.post-1898847192306424692011-10-07T11:12:58.572-04:002011-10-07T11:12:58.572-04:00one question wouldnt the exchange bust a 5c trade ...one question wouldnt the exchange bust a 5c trade on the 100 strike if the 500 strike also traded at 5c off the same ref.<br /><br />The exchange will not bust those trades even if they don't make economic sense. Get the data from the October 2008 VIX options settlement. Many lower priced put strikes traded at higher prices than the higher put strikes. Again, this is Goldman marking the VIX settlement. The CBOE will also arbitrarily adjust the VIX settlement. Again, happened in Oct 2008.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-8608774547701042310.post-26671700005929576682011-10-07T07:01:12.800-04:002011-10-07T07:01:12.800-04:00Interesting analysis its well known that vix expir...Interesting analysis its well known that vix expiry can be slightly erm interesting hence quite a few ppl will trade options on VXX and VXZ to mitigate...<br /><br />don't rule out large "hedging" trades moving the market...the guys that run the VXX and VXZ have very large books that could absorb and run big trades at odd strikes...they run risk across various buckets and always be short raw vol/var<br /><br />Back to your analysis as var swaps are priced off the continum of puts but in practice off a discrete set, odd prices could move the market and the convexity premium we see in NKY can be explained by the market pricing the non existant low strikes higher...or indeed just ascribing a higher price to the actual traded options...which makes sense because experiance has taught the guys out there that when you need to buy the low strikes they get expensive fast if you can buy them at all!...<br /><br />one question wouldnt the exchange bust a 5c trade on the 100 strike if the 500 strike also traded at 5c off the same ref...I mean the price for the 100 has to be lower than the 500 so I just wonder if in practice the trades would make it through...perhaps you have already done this analysis maybe I missed it but thats my intial thoughts...nice blog btw.Ejiihttps://www.blogger.com/profile/05012565090897500890noreply@blogger.comtag:blogger.com,1999:blog-8608774547701042310.post-80844013172138411372011-10-07T03:56:28.993-04:002011-10-07T03:56:28.993-04:00Not only is this possible, it has been done. The O...Not only is this possible, it has been done. The Oct 23, 2008 VIX expiry was accomplished exactly in this manner by Goldman. The CBOE is well aware of this problem. As long as it's Goldman, they don't care.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-8608774547701042310.post-10779140644148918842011-10-06T20:03:15.707-04:002011-10-06T20:03:15.707-04:00Hi,
First of all, brilliant analysis.
I trade VIX ...Hi,<br />First of all, brilliant analysis.<br />I trade VIX futures and while having read about the mechanics, I admittedly never went into depth about how a trader can actively affect the settlement price.<br /><br />But like most investment ideas ever published, one has to be skeptical about the nature of its publicity. Have you ever tried and profit from the tactic? If yes (and I hope the answer is yes), did it work out as well as described?kalanoreply@blogger.com