VIX Derivatives

#1
Hi Alchemist , Do u have any info on when will trading in derivatives on VIX will start and will there be anything different about these?

Like will we be able to go short on them, and whether they will be having call, put etc?

Do we have derivatives on VIX anywhere else in world or is this the rare innovative idea of SEBI ;)?
 

Alchemist

Administrator
Staff member
#2
I have no idea when VIX Derivatives will be introduced in India, but it may happen in 2010.

Futures on VIX will be introduced first, followed by options on VIX.

Such products are already available in the US.

(They may be available in other parts of the world too, but I don't have much idea).

VIX derivatives are traded on the CBOE (Chicago Board Options Exchange).

See CBOE's micro site on VIX futures and options:

http://www.cboe.com/micro/vix/
 
#3
Hi Folks,

I find the idea of derivatives on the VIX a little strange. The VIX is volatility index of the broad equity market, the exact definition depending upon which country VIX index you are looking at. As such, the derivatives on the VIX are already available in the form of the relevant equity index option.

So why not just trade a position in the index option. If you want to be exposed long to volatility, then if you are gamma long and delta neutral then you essentially have the same position. Evidently reverse this position (i.e. sell options) and you will be vega short, i.e. will profit if the volatility falls.

It would however be interesting if these VIX products are available (I haven't looked), as there is bound to be a lovely arbitrage opportunity sitting there.

All the best,

Seeker.
 
#4
Hi Folks,

I find the idea of derivatives on the VIX a little strange. The VIX is volatility index of the broad equity market, the exact definition depending upon which country VIX index you are looking at. As such, the derivatives on the VIX are already available in the form of the relevant equity index option.

So why not just trade a position in the index option. If you want to be exposed long to volatility, then if you are gamma long and delta neutral then you essentially have the same position. Evidently reverse this position (i.e. sell options) and you will be vega short, i.e. will profit if the volatility falls.

It would however be interesting if these VIX products are available (I haven't looked), as there is bound to be a lovely arbitrage opportunity sitting there.

All the best,

Seeker.
I think the idea of VIX is to trade derivatives which are cheaper than index derivatives.
 
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