Wednesday, October 21, 2009

VIX Settlement

Settlement prices for Oct. VIX options and futures was released an hour or two ago.
[Source: CBOE]

[Source: EduTrader]

Given that the cash VIX opened the day at 20.90, the settlement price of 20.82 seems in line and void of any dastardly attempts in skewing settlement. The naked put mentioned in last weeks Surveying the Volatility Landscape was obviously a bust. We'll see if any opportunities arise for the November cycle.

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