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vix futures

Trading > Daily Options Report

McMillan and VIX Futures

Daily Options Report | Thu, 07/16/2009 - 2:32pm | ITM, Lawrence McMillan, option strading, VIX, vix futures, Volatility Index |  Add a comment

So we've written much about this disparity between August VIX futures and the VIX itself. But is there a way to "lock in" the inevitable convergence? Lawrence McMillan (who is actually one of the great ones in this business) recommends a play wherein you buy modestly ITM August VIX puts v ... Read more

Trading > Daily Options Report

VIX Overnight

Daily Options Report | Fri, 01/23/2009 - 10:10am | ETFs, options reports, vix etfs, vix futures, Vix overnight, vix reports |  Add a comment

Great chart here from Bill Luby in light of this new VIX ETF due any day now. This graph shows the one day change in each VIX future from Tuesday's close through Wednesday's close, a day where the VIX itself got plowed and the futures followed for the most part. The red line shows the Tue ... Read more