Dale,
Vix is calculated utilizing BOTH Puts & Calls, near the money, OEX.
The reason your puts closed down today was that options and futures both trade til 4:15pm EST. Thursday, the futures sold off hard between 4pm and 4:15pm. Option prices track the effect the futures price, or premium of futures to cash, will have on the cash. Thus, puts expanded in value at Thurday's close as the futures closed as 1036, and the cash closed at 1042. Friday's futures close was around 1032, very little improvement over Thursday. Plus, Fridays are notorious for option premium erosion in the last 30 minutes of trading. Add those two items together, and you see why your puts didn't appreciate on the day the cash SPX was 15 pts. lower.
The real decline Friday, as it relates to your option price from Thursday's close, was only 4 S&P futures points, not enough to offset the preweekend premium erosion. The moral of the story is to try to dump options by 3pm Friday, and buy them back near the close if you want to retain the position.
Regards,
David |
