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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 (43070)	10/8/2005 10:10:21 AM
From: Chaka	Respond to of 110194

Yes, this is another reason I don't like VIX futures -- they ripped me twice using wrong (lower) VIX value as settlement value. It also happened to me with BKX puts. Their value for option settlement (BKO) was 50c higher than BKX open value and was never reached during that day. I just read through the following document on VIX settlement: cfe.cboe.com and it clearly states that "Because actual prices are used to compute the Final Settlement Value of volatility index futures while mid-market options quotes are used to compute indicative volatility index values, there is an inherent risk of a significant disparity between the Final Settlement Value of an expiring volatility index futures contract and the opening indicative volatility index value on the final settlement date." I guess I should have read this before I made any VIX trades but this is another reason to stay away from VIX futures.