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  • 3 years ago
Volatility Views 152: Tales from the Front

Volatility Views 152: Tales from the Front

Volatility Review: A look back at the week in vol 

VIX Cash: Low: 12.89 - High: 17.19
S&P: Skew Index: 122.86
VIX Futures: Stories from the front
Question - Hi Mark: My story is about a professional trader in VIX Futures who claims he lost heavily because the electronic broker he was trading through had the wrong expiration date – it was one day early. Apparently this professional trader had a position of over $100M. Apparently the wrong expiration date had been posted for several months. He won an award for over $2m at a FINRA panel behind closed doors.
My questions: What is your reaction? If you are a VIX Futures trader do you typically hold your position over days/months or do you close out at end of day? It seems also possible that if the wrong expiration date was published, a VIX Futures traders could also come out ahead on the positive side of the balance sheet? What is your take on VIX Futures?
VIX Options: April 50 calls still open - someone is quite optimistic about April

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