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Strategies & Market Trends : The Epic American Credit and Bond Bubble Laboratory

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To: Win-Lose-Draw who wrote (43491)	10/14/2005 2:26:08 PM
From: mishedlo	Read Replies (2) of 110194

The VIX future has a multiplier of 10. Five points is the difference between eg 12.3 and 12.8, or $50/contract. Given the inputs to the pricing model have a maximum resolution of barely 10 cents, I don't think it's reasonable to expect a tighter match than that. Thats what I thought we were talking about. As long as it was not 12 to 17! Had to make sure. I agree that is "pretty reasonable" given the illiquidity of the futures and the low volume of trading. I think I have this correct now, and in fact I think I had it nearly correct from the begining. This thing started off with me saying the futures always looked 30 days ahead even at expiry and many here seemed to disagree with that. What I did not know was that $VIX looked 30 days ahead too. Thanks Hopefully this is now fully resolved for everyone. Mish

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