Opciones y VIX

Adam Warner tiene un post en Option Zone sobre si graficar el CBOE Volatility Index (VIX) brinda información para armar posiciones. Más alla del motivo central del articulo, que el autor propone cierta cautela, es interesante como explica que el VIX no es una acción, y por ende el trader tiene que considerar otras cosas tambien.

Remember first and foremost that the VIX is not a stock; it’s a statistic that’s designed to estimate volatility of an S&P 500 (SPX) option with 30 days until expiration. As such, normal rules of supply and demand that we use to gauge chart points on a stock simply do not work as well on the VIX.

Let’s say for example that Trader Joe spends $4,000 on at-the-money straddles in SPX with the VIX at 25, and SPX rallies. He’s now effectively long, so he sells some e-mini S&P 500 futures against the straddle he owns.

Now let’s say SPX retreats and he buys it back and earns $2,000 on the flip. Meanwhile, the VIX has declined to 21, but he can sell his straddle back out for $3,000. The fact that implied volatility dipped 4 points does not bother him; he lost $1,000 on his actual options between the dip in volatility and the time decay, but having the position allowed him to take advantage of the realized volatility in SPX itself.

And that’s the whole point, the option trader has all sorts of moving parts to consider. There’s implied volatility, of course, but there’s also the action in the underlying instrument itself, and then there’s the time value.

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