SPX options

The Volatility Term Structure is Driven by OTM Puts

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The CBOE’s VIX® methodology calculates a single theoretically grounded number that quantifies virtually the entire volatility landscape for a specific point in time—pretty cool.  Prices for hundreds of different options with different expiration dates can be involved in the calculation.   This single number is very useful, but obviously, lots of information is discarded in the distillation.  I’ve wondered if the VIX’s compression is hiding some information …

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When an Index Becomes a Security

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Update A comment on this post from “~”, writer of the Volatility Futures and Options blog, revealed that in this post I made the mistake of assuming that correlation meant causation in analysing the data—a danger I warn against in Patterns, Predictions, and the Correlation Fairy.   It’s too bad, it was a fun story.  I’m not beating myself up about it, but it illustrates the …

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Trading the CBOE’s SPX AM and PM settled Options

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If you need options on the S&P 500 the CBOE’s SPX series is one of the most popular solutions in the marketplace.  The CBOE continues to enhance this product with additional expirations—the latest being the addition of options expiring on Tuesday and Thursday afternoons in the spring of 2022.  These products were immediately successful.  With all the days of the week covered it will interesting …

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