О манипуляциях на VIX-е

[rene_korda]

http://onlyvix.blogspot.com/2011/10/how-to-manipulate-vix-settlement-price.html - прикольный пост о том, как можно за сотню-две баксов манипулировать VIX-ом при экспирации. Не уверен, что автор всё правильно учёл, но всё равно интересно. Дэн, тебе должно понравится.

Comments

[anonymous]

Thank you for the link. If you find an error in my post please let me know.

[rene_korda]

Thank you for your blog! I'll try to double-check your calculations tomorrow - such a loop-hole does seem to be quite strange, but that doesn't mean you're wrong.

[anonymous]

I welcome any criticism.

[rene_korda]

SOQ (по которой рассчитывается экспирация викса), как раз, от сделок считается. Там просто проблема весами - сильный скачок цены на дальних страйках может сильно подбросить индекс при экспирации.

[rene_korda]

Слушай, такой расклад. Допустим, ты ставишь пре-маркетом бид по СПХ на очень низком страйке, скажем, по 0.05. Маркет-мейкер ставит тем же пре-маркетом аск 0.01. Где исполнится трейд? И ставят ли ММы такие ордера на СПХ?

[anonymous]

I assume you meant to ask what would happen if you place a 0.05 bid, and there is no opening trade, and the market opens at 0.05-0.10. In this case according to SOQ rules (http://cfe.cboe.com/products/settlement_vix.aspx) " If there is no opening price for a Constituent Option, the average of that option's bid price and ask price as determined at the opening of trading is used instead." So instead of 0.05 that strike would settle at 0.075.

[rene_korda]

Thank you. Yes, that's what I was asking (BTW, do you know Russian, or did you just guess that from the numbers?)

Actually, I did double-check your calculations and everything seemed to be right. I guess it's time to test the thing in practice - to try and inflate the settlement for $25. The market was too volatile this month to provide a clean experiment, but perhaps November or, more likely, December will present a nice opportunity.