Can someone please tell me why VIX calls don't move like the Delta indicates it would? I have a Dec 24 $16 Call and VIX is up $1.80 as of my posting. Delta is $0.66 and my option has moved only $0.20. Seems like it should have move over $1 by now. The other day VIX was up over $1 and my option lost $0.15 with a Delta of $0.67.
This is the only option I have ever seen that doesn't follow the Delta. What am I missing?
Posted by justlookingaround75
4 Comments
Now up $2.27 and my option has only moved $0.35
I am not an expert but here are my two cents:
– VIX is an index, so it is denominated in index points and not dollars.
– As I recall, the VIX is designed to measure the expected (annualized) volatility of the S&P 500 over the next 30 days. Your option expires in December which is more than 30 days out.
– You need to consider the other Greeks as well, like Theta (time decay) and Vega (volatility). E.g.: If the volatility drops, so does the value of your option, even though the index moves in your direction.
You need to assess the movement of VIX options relative to the corresponding VIX future. Whatever spot VIX is doing today is largely irrelevant to how a Dev VIX option will move, since your option is going to settle against VIX in December, not VIX today.
The underlying asset of your option is the future UXZ4, not the VIX index itself.
For reference uxz4 is currently up 0.5, so your option should be up about 0.3 from the delta alone.