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Are your Greeks correct for VIX options?
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).”
The Jeep Trade
Jim Riggio presented the Jeep trade at the Options Tribe this week. Here is the replay of the meeting:
You can download the slides at http://cdurl.us/slides
Jim Riggio created the Jeep are a modification to Dan Harvey's Weirdor. The Weirdor and Jeep are asymmetric iron condors with hedges near the spot price.
OK We are just getting setup
What is Aeromir? We are building an online community for investors and option traders with education from various experts and services to implement trading strategies via auto-trading and managed accounts.
We have plans to publish weekly stock screening scans for value investors. Our data becomes available on Saturday evening so we plan on publishing the scan results on Sundays.