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).
How to go long on the VIX index
Unlike the S&P 500 or Dow Jones Industrial Index, there’s no way to directly invest in the CBOE’s VIX® index. Some really smart people have tried to figure out a way, but there’s just no way to do it directly with something like a VIX index fund. Instead, you have to invest in a security that attempts to track VIX. None of them do a great …
