Thursday, September 22, 2016

9-22 VIX options anomaly?

I don't quite understand.  Observe these options
The calls on VIX for 12.00, should be roughly equal to the puts on 12.50.  Actually it should be maybe 10 cents cheaper because the price is closer to 12 than 12.50.


In fact, is so extreme, look at the one I expanded, at 13.50 for Oct 5. 


IF you bought those puts, and the vix didn't move, you'd make a lot of money.  Pay .7, so as long as the price stays below (13.50-.7 = 12.80)  then you will make 64 cents per option profit.  You'd honestly double your money.  The only way this wouldn't pay off, is if stocks crashed and the VIX shot up......?????


If I look at VXX instead of VIX, I don't see this.

1 comment:

  1. The yellow line should be at a lower price than the dashed line. I confirmed this by looking at other stocks.

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