Leaderboard

Wayne, That's what I thought as well before digging in to this and getting a bit more familiar. The VIX, as we follow daily, is simply a calculated 30 day implied volatility for the SPX as of today expressed as a percentage. VIX options are based on a calculated 30 day implied volatility for the date of the option. So if you have a Feb/Apr VIX calendar, there are three "VIX" values involved: 1) the current VIX as of today, 2) the VIX future for the February expiration date, and 3) the VIX future for the April expiration date. The three different "VIX" values may not (and most likely will not) be the same. That means that you see today's VIX percentage as one number, another VIX percentage is used as the underlying for your February options, and yet another VIX percentage is used as the underlying for you April options. Quick, significant changes in today's VIX may have siginificantly different changes on the future VIX numbers for the two future dates (i.e. one may change much more significantly than the other, usually the front month). That's why this is a different beast than a normal calendar with stock based options.