Vix prices on TOS

status1

Active member
Is there a problem with the vix prices on TOS ?

For some reason when I look on the Analyze tab on the price slice for the vix it shows the price of around 30.50
I have the price unlocked so it's not like it's locked at a certain price
Looking on the trade tab and on the chart it shows it around 27.25 It never even traded near 30 today
Placing a simulated trade by buying a 27 strangle it shows a profit of $149 so there is definitely something wrong there
 

garyw

Active member
I don't typically trade VIX options, but am fairly sure these options are trading on the /VX futures as VIX is not trade-able, but merely a computed value. Note that all expirations coincide with the Futures expirations! -- The price you observe seems to relate to the respective /VX product.

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status1

Active member
Thanks for clearing up my confusion
So what you are saying is that even though the simulations the trade tab and the charts shows it as VIX the actual price slice is quoted from the /VX ?
Strange but makes sense
I don't trade the VIX either and I typically use the charts to check the price of VIX I just though I could do a quick check
on the Analyze tab to see what the price was so that is why I even noticed it

I wonder how those folks who trade the VIX how they track the p/l since they can't use the price slice for that
 

garyw

Active member
No one actually trades the VIX! By VIX I mean the 30DTE SPX Volatility, which it the computed values per the CBOE VIX White paper. Would have been nice if folks (brokers, CBOE, etc) would have used non-ambiguous terminology. One cannot trade VIX directly. Please correct me if I state incorrectly.
 

jim leahy

Member
correct on both counts. you can't trade the vix index (but you can trade vxx and uvxy) and
the vix options trade off the /vx futures price. i usually trade vix broken-wing butterflies
when the vix gets very low. i had to add the futures price as a special case in my options analysis
program to get a correct p/l and greeks when i model it. i don't know how you'd model it
in thinkorswim. i've never tried it.

one easy way to tell the vix options aren't priced based on the vix is to look at the
at-the-money strikes. the puts and calls should be relatively closely priced.
looking at the october expiration, the ATM as indicated in thinkorswim is 26.
the /vx future is trading close to 30. the 26 call is $5, the 26 put is 1.15ish.
the 30 put and call are both 3.5ish.
 

status1

Active member
I was refering to VIX options

I can go to the trade tab and enter an option order and send it to the analyze tab Everything looks good until I look at the price slice
That is like placing an option order for SPX and than when you look on the analyze tab it shows the spx futures instead of SPX
 

garyw

Active member
I was refering to VIX options

I can go to the trade tab and enter an option order and send it to the analyze tab Everything looks good until I look at the price slice
That is like placing an option order for SPX and than when you look on the analyze tab it shows the spx futures instead of SPX
My Bad! I misunderstood your question. But since I don't trade VIX options, have not investigated.
 

Tb2018

Member
1) VIX options are not priced to the Index because the VIX does not have any tradable shares. Instead, VIX options are priced to the volatility future with the same settlement date.(/VX)

2) VIX options settle to a Special Opening Quotation (SOQ) under the ticker symbol VRO. VRO is a VIX-style calculation that uses the opening prices of SPX options on the morning of settlemen

So the best proxy value is the /VX close to 30 DTE.

If you put the trade into TOS Analyze Tab today you will see as center price /VXV20 (futures Contract)
 
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status1

Active member
Thanks for the video
That explains how the vix is priced and shows what kind of options can be used but it doesn't say how to track the p/l which is what I was wondering about
 
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