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 (LIVEVOL and Barchart (free subscription) are notable exception). 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).  Fidelity and Ameritrade get partial credit because they don’t use the VIX as the underlying, but they don’t appear to use the best VIX futures quote for their underlying.

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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 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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2020 Option Expiration Calendars

Long Term Cboe VIX future / VIX Option Expiration Tool This Cboe spreadsheet computes VIX expiration dates into at least the end of 2030 Long Term Market Watch Calendar (includes all years out to at least the year 4000!), No VIX data Expiration Calendar (always shows three years, click on next year to increment) Free Spreadsheet with 2020 Equity Trading Days, VIX Future & Option …

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