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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 (43062)	10/7/2005 10:16:41 PM
From: Chaka	Read Replies (1) \| Respond to of 110194

That's not right. It's a normal future contract with cash settlement. Read here: cboe.com Well, take the August example - the settlement value quoted is 128.19 while if you see the VIX opening value on the third wed. of Aug (17th), it is 13.35...so, somehow the settlement value was not the same as the opening value of VIX (the values are much closer in June settlement but about 3 pts in May) - so, this might have to do with the order imbalance issues maybe?? In any case, given the arbitrary movement of VIX futures, I decided to stay out of it.

To: ild who wrote (43062)	10/7/2005 10:35:49 PM
From: mishedlo	Read Replies (2) \| Respond to of 110194

The CBOE Volatility Index is based on real-time prices of options on the S&P 500 Index, listed on the Chicago Board Options Exchange (Symbol: SPX), and is designed to reflect investors' consensus view of future (30-day) expected stock market volatility. I had a conversation with Succo about this. He trades volatility for a living. He told me this contract was not what meets the eye. I do not want to put words in his mouth but after reading the above I think I am right. The stupid thing is always looking 30 days forward. We had a discussion as to why that meant it would not match the day to day moves, and perhaps not even the direction. I believe we have seen cases of this already. He was staying away from it. FINAL SETTLEMENT DATE: The Wednesday that is thirty days prior to the third Friday of the calendar month immediately following the month in which the contract expires ("Final Settlement Date"). That is damn confusing to say the least. Mish