Getting the correct greeks for VIX options

Many software packages that report option Greeks (e.g., delta, gamma, theta, implied volatility) report incorrect values for VIX options (Fidelity, Schwab, Ameritrade , LIVEVOL and Barchart (free subscription) are notable exceptions). Depending on the date and state of the market they can vary from almost correct to widely wrong–giving truly nonsense numbers.  These packages assume that the VIX index is the underlying for the VIX options.  This is wrong.  The best underlying to use is the corresponding VIX future for that month (e.g., January VIX futures for January VIX options).

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FAQ on VIX, the “Fear Index”

Why do they call the VIX Index the “Fear Index” or “Fear Gauge” Because the VIX almost always goes up when the market goes down. The scarier the decline the higher the VIX tends to go. In the worst part of the 2008/2009 bear market it went as high as 80. In strong bull markets it historically bounces between 10 and 15. How can I …

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

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 …

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2022 Option Expiration Calendars

Market Watch (includes all years out to at least the year 4000!) No VIX data. Easy to get to other years Calendar The CBOE and the Options Clearing Corporation both publish nice options expiration calendars. Calendars from both sources show the VIX expiration date, which is when monthly VIX options and futures expire.   The last trading for these securities is the previous trading day …

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VIX quotes, VIX option quotes

You can get delayed VIX quotes on Yahoo with the symbol ^VIX You can also get VIX option quotes here.  Go to here for the correct expiration dates (always last trading on a Tuesday, expiration on a Wednesday morning) You can get free delayed quotes for VIX options on LIVEVOL that also provides correctly computed greeks for these options–something none of the big brokers gets right. …

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