vendredi 21 juillet 2017

Question about VIX options and futures

I could be wrong, but when I've always thought about options, when you purchase one call let's say, it was a right to purchase 100 shares at the strike price. How does this work with VIX? I know VIX are cash settled, but that is not my question. I note on this site that the VIX option "multiplier" is listed as $100:

http://ift.tt/2gR5Q8B

So does that mean if I buy one call I am buying the right to buy the equivalent of $100 worth of the VIX at the specified price, or instead that I am buying the right to essentially buy 100 shares of VIX at the specified price (again, cash settled). The latter is the only one that really makes sense for me.

Same question for VIX futures. I see here they are listed as having a $1,000 multiplier:

http://ift.tt/2gQWSrW

So let's look at the 3/21/18 contract here:

http://ift.tt/2tOs5gv

It's currently quoted at 16.67. So let's say I sell one contract. Is that me agreeing to sell (again, cash settled) the equivalent of 1,000 VIX shares at 16.67 on 3/21/18, or $1,000 worth of VIX shares? If the latter, is the worth determined on 3/21/18? I think the former makes the most sense.

Thanks!


Question about VIX options and futures

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