I posted in the forums about seting up OptionVue correctly to get the correct greeks for VIX options.
Jim sent me an interesting link to six figure investing's article on “Thirteen Things Your Should Know About Trading VIX Options.” Bullet point number four says
“The option greeks for VIX options (e.g. Implied Volatility, Delta, Gamma) shown by most brokers are wrong (LIVEVOL and Fidelity are notable exceptions). Most options chains that brokers provide assume the VIX index is the underlying security for the options. In reality, the appropriate volatility future contract is the underlying. (e.g., for May options the May VIX futures are the underlying).”
I've used OptionVue software since 2006 which made me wonder if OptionVue was using the underlying future to calculate the greeks so I asked Len Yates, the co-owner of OptionVue. Len said to load the VX futures contract as the underlying in the matrix and that will correctly calculate the VIX greeks.
If you aren't using OptionVue or LiveVol, be very careful of the greek values on VIX options.
I'm in the process of getting LiveVol X and will be able to update this article with data from ThinkOrSwim, OptionVue and LiveVol and compare the values for the same instruments.
Stay tuned for that (or sign up for our RSS feed or email updates to have it sent to you automatically)
Are you trading the VIX or any volatility products?