Comments on: VIX datapoint of the day http://blogs.reuters.com/felix-salmon/2011/03/25/vix-datapoint-of-the-day/ A slice of lime in the soda Sat, 18 May 2013 04:10:35 +0000 hourly 1 http://wordpress.org/?v=3.4.2 By: right http://blogs.reuters.com/felix-salmon/2011/03/25/vix-datapoint-of-the-day/comment-page-1/#comment-25375 right Sat, 26 Mar 2011 16:01:24 +0000 http://blogs.reuters.com/felix-salmon/?p=7722#comment-25375 Also, the price of an option is not going to be the notional strike price of the VIX but a much lower figure, unless it's deeply in the money. So the actual cash value of these options is much lower than even a revised estimate of $100B from your assumptions. Probably something on the order of $10B. Also, the price of an option is not going to be the notional strike price of the VIX but a much lower figure, unless it’s deeply in the money. So the actual cash value of these options is much lower than even a revised estimate of $100B from your assumptions. Probably something on the order of $10B.

]]> By: gbojangles http://blogs.reuters.com/felix-salmon/2011/03/25/vix-datapoint-of-the-day/comment-page-1/#comment-25362 gbojangles Fri, 25 Mar 2011 19:10:30 +0000 http://blogs.reuters.com/felix-salmon/?p=7722#comment-25362 Follow up to my last comment: here are the specifications of VIX options. Note the $100 multiplier. http://www.cboe.com/products/indexopts/vixoptions_spec.aspx Follow up to my last comment: here are the specifications of VIX options. Note the $100 multiplier.

http://www.cboe.com/products/indexopts/v ixoptions_spec.aspx

]]> By: Greycap http://blogs.reuters.com/felix-salmon/2011/03/25/vix-datapoint-of-the-day/comment-page-1/#comment-25361 Greycap Fri, 25 Mar 2011 19:06:28 +0000 http://blogs.reuters.com/felix-salmon/?p=7722#comment-25361 "... it was always possible to measure the implied volatility of the stock market long before it became a futures contract." Hang on. Tett's quote was referring to VIX *options*. The prices of these contracts reveal information about market expectations of volatility of volatility, not volatility. This is not something that has always been possible to measure. “… it was always possible to measure the implied volatility of the stock market long before it became a futures contract.”

Hang on. Tett’s quote was referring to VIX *options*. The prices of these contracts reveal information about market expectations of volatility of volatility, not volatility. This is not something that has always been possible to measure.

]]> By: gbojangles http://blogs.reuters.com/felix-salmon/2011/03/25/vix-datapoint-of-the-day/comment-page-1/#comment-25360 gbojangles Fri, 25 Mar 2011 18:53:52 +0000 http://blogs.reuters.com/felix-salmon/?p=7722#comment-25360 Error in your report: The VIX Future has a $1000 multiplier, but VIX Options strangely have a $100 multiplier. So the dollar contract volume in the options is actually an order of magnitude lower. Error in your report:

The VIX Future has a $1000 multiplier, but VIX Options strangely have a $100 multiplier. So the dollar contract volume in the options is actually an order of magnitude lower.

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