VIX quotes, options chains, and correct greeks for VIX options


Updated: Mar 10th, 2017 | Vance Harwood | @6_Figure_Invest

You can get free delayed VIX option quotes at freerealtime.com or Yahoo Finance using the ^VIX symbol.  Go to here for options calenders giving the correct expiration dates (always last trading on a Tuesday, expiration on a Wednesday morning)

Schwab uses $VIX as the ticker symbol, Fidelity uses VIX, Yahoo uses ^VIX.

VIX Settlement values (the price used to evaluate loss/gain at expiration) use symbol VRO  (^VRO for Yahoo, $VRO for Schwab).

The option Greeks (e.g., delta, gamma, theta) and computed IVs for VIX options are computed incorrectly on most broker’s software packages because they incorrectly use the VIX index instead of the appropriate VIX future month as the underlying.  I go through the steps in computing the correct Greeks yourself in this post.

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Friday, March 10th, 2017 | Vance Harwood