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 Sun, 26 Oct 2014 19:05:02 +0000 hourly 1 http://wordpress.org/?v=4.2.5 By: right http://blogs.reuters.com/felix-salmon/2011/03/25/vix-datapoint-of-the-day/comment-page-1/#comment-25375 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.

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By: gbojangles http://blogs.reuters.com/felix-salmon/2011/03/25/vix-datapoint-of-the-day/comment-page-1/#comment-25362 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/v ixoptions_spec.aspx

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By: Greycap http://blogs.reuters.com/felix-salmon/2011/03/25/vix-datapoint-of-the-day/comment-page-1/#comment-25361 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.

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By: gbojangles http://blogs.reuters.com/felix-salmon/2011/03/25/vix-datapoint-of-the-day/comment-page-1/#comment-25360 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.

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