We closed witj VIX 15. That should be the weighted average volatility of 28 DTE SPX options and 31 DTE. But if you look at the IV around the closing it is around 11 for the ATM options. You really need to go so far OTM or ITM and eventually some strikes will be at 15 IV but that is always the case coz of volatility smile or smirk. What am I missing here. Not a single 15 IV readings between 5200 and 6600 SPX strikes
Posted by Opening_Cow_2470
1 Comment
Check the formula in the VIX white paper, it comes from approximating the price of a log contract with a finite number of Europeans, it isn’t as simple as what u described