EliteVol

Volatility trader specialized in developing/maintaining adaptive algorithmic trading strategies

[EliteVol @EliteVolatility]

Today's $VIX expiration should be one for the ages. Current VIX is anybody's guess, as option markets remain closed as long as $ES is in limit-down. SOQ will be chaotic, especially if stocks hit the -7% circuit breaker at the open.

[EliteVol @EliteVolatility]

@Req_2_C_Content @SqueezeMetrics My calc shows a DIX of 48.73. Normally my numbers perfectly match with Squeeze. Going through my code now to see what could have caused the discrepancy.

[EliteVol @EliteVolatility]

https://t.co/lxuhusn8Vo

#ES_f soaring

[EliteVol @EliteVolatility]

@QualityInvest5 @QCompounding @QCompounding Care to elaborate where you get your data from?

[EliteVol @EliteVolatility]

For reference: Circuit breaker/Limit Down on Jun #ES contract kicks in at 4755.25
Jun #NQ at 16321.25

[EliteVol @EliteVolatility]

$VXX Better double check guys 🤔

[EliteVol @EliteVolatility]

@charliebilello You obviously weren't alive in 1987

[EliteVol @EliteVolatility]

Did I miss anything while I was gone? 😅

[EliteVol @EliteVolatility]

Following recent rollout of EAFE (VXMXEA) and EM (VXMXEX) VIX indices, CBOE set to launch new range of options based on MSCI global indices on March 18th: World Index Options (MXWLD), ACWI Index Options (MXACW), and USA Index Options (MXUSA)

https://t.co/8Q0rxBRBZm

[EliteVol @EliteVolatility]

@6_Figure_Invest CBOE keeps rolling the error that apparantly there are no SPX/XSP weeklys on the 3rd Friday of the month. There are and have been for many years 🙄

[EliteVol @EliteVolatility]

#CNN Fear and Greed Index completely broken for 3 days now🤨🤫

[EliteVol @EliteVolatility]

Historical values for the now adequately dubbed "Opportunity Index" have been made available by CBOE (data going back to 2014) and can be found here 👇

https://t.co/BOC64PUNsT

[EliteVol @EliteVolatility]

New CBOE Dispersion Index, announced last year, will launch on September 27 👇
https://t.co/yeInqAcz9G

$VIX

[EliteVol @EliteVolatility]

$VIX VRO @ 16.28

[EliteVol @EliteVolatility]

@GEORGESTV1 I calculated this myself. Can send the raw data (no VIX formulas) for this time period if you wish. DM me.

[EliteVol @EliteVolatility]

Converting VIX1D closing prices (calc'ed from bus. days) back to cal. days is relatively easy given that there is no interpolation at the close (1 exp only).

It clearly shows why CBOE opted for bus. days. As expected, the weekend effect is ridiculous.
Spikes remain present

$VIX

[EliteVol @EliteVolatility]

@Mike_Hunt_Sr VIX1D currently only incorporates options expiring today. At EOD this changes.

[EliteVol @EliteVolatility]

@Mike_Hunt_Sr Even for Europeans?

[EliteVol @EliteVolatility]

Exactly 50 years ago today, regulated Call Options of 16 companies started trading at CBOE:

They were:
AT&T,Atlantic Richfield,Brunswick,Eastman Kodak, Ford,Gulf & Western,Loews,McDonalds,Merck, Northwest Airlines,Pennzoil,Polaroid,Sperry Rand,Texas Instruments,Upjohn and Xerox

[EliteVol @EliteVolatility]

$VIX

CBOE has added historical (close only) data for the new VIX1D index going back to May 13, 2022.

The data can be found here 👉 https://t.co/o3GgEDuflg

[EliteVol @EliteVolatility]

I'm sorry @CBOE , but this is wrong. Risk-free interest rate does not care about Business days/years. The Exponential in the VIX1D formula needs to be calc'ed using calendar days, as is the case with $VIX.
Granted, effect is negligible, but correct is correct.