07
Apr
10

“Spot” Vix y time decay

Adam Warner tiene un post muy interesante con respecto al VIX, tanto en su versión “spot” (usando opciones del SPX) como en futuros. Donde se pregunta si uno se puede beneficiar al saber que el VIX actuó pobremente el viernes y muy bien en los primeros momentos del lunes. Lo rescatable del articulo es el hincapié en no olvidar el time decay de una opción.

(…) Remember there’s no way to buy and sell a “spot” VIX. Well, other than using actual SPX options. But actual SPX options have this funny thing known as “time decay”. If you buy “cheap” Friday options, all you’re doing is owning “time” over the weekend at a reduced price. It should carry a reduced price however, nothing trades. The volatility of the options you own may look better on Monday, but that will be offset by the fact that there’s 3 fewer days of life in the option. By and large these two factors offset in actual dollars, The long side will sometimes win (you do get gaps on Mondays) and the short side will sometimes win (the Friday volatility reduction did not fully price in 3 days worth of decay, especially if Monday opens very near unch.).

The point being, the actual options have close to a zero sum game. A recent study I linked to seemed to indicate that even with the Friday time decay “pre-sale”, options still overprice weekend risk. (…)


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