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Strategies & Market Trends : The Epic American Credit and Bond Bubble Laboratory -- Ignore unavailable to you. Want to Upgrade?

To: ild who wrote (43053)	10/7/2005 6:47:48 PM
From: mishedlo	Respond to of 110194

I think the product is too easily manipulated. The second problem is the huge contango. That second problem seems to have just gone away if I understand things corectly. I will look at the curve later tonight. Mish

To: ild who wrote (43053)	10/7/2005 8:06:47 PM
From: Chaka	Read Replies (1) \| Respond to of 110194

They were 13.5 when VIX was at 12. IMO people why sell them at 14 yesterday strongly believe that this to be the value at "delivery". The delivery price is not the VIX closing or opening price. I think Mish is right - it is the VIX value one month out. I know this because I thought I was going to break even based on the VIX closing price and turned out I lost money because the delivery price was way below that (the contract was trading the day before near the delivery price and I couldn't figure out why people were trading at a discount!). I have given up on VIX because of the really low liquidity and erratic movements of later month futures to the day-to-day vix.