You can get free delayed VIX option quotes at freerealtime.com or Yahoo Finance using the ^VIX symbol. Go to here for options calenders giving the correct expiration dates (always last trading on a Tuesday, expiration on a Wednesday morning)
Schwab uses $VIX as the ticker symbol, Fidelity uses VIX, Yahoo uses ^VIX.
VIX Settlement values (the price used to evaluate loss/gain at expiration) use symbol VRO (^VRO for Yahoo, $VRO for Schwab).
The option Greeks (e.g., delta, gamma, theta) and computed IVs for VIX options are computed incorrectly on most broker&8217;s software packages because they incorrectly use the VIX index instead of the appropriate VIX future month as the underlying. I go through the steps in computing the correct Greeks yourself in this post.
- A Better Way to Model the VIX
- Near Real Time Graphical VIX Term Structure
- Volatility Related Indexes and Tickers
- Graphical VIX &038; VIXMO calculations
- Calculating the VIX—The Easy Part
Friday, March 10th, 2017 |