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Setting up OptionVue correctly for VIX Options

Discussion in 'Options' started by tom, May 6, 2014.

  1. tom

    tom Administrator Staff Member

    Jim forwarded an article to me about VIX options at http://sixfigureinvesting.com/2010/01/trading-vix-options/
    Bullet number 4 mentions that very few brokers calculate the VIX greeks incorrectly. LiveVol and Fidelity were exceptions.
    I asked Len Yates at OptionVue if the VIX greeks are calculated using the VIX futures contract. Here's what Len said:

    "Yes, if you include the VX futures in your VIX matrix, the program uses them as the “underlying”. Therefore we
    recommend to our users that they include the VX futures in their VIX matrix, and we have the program start up a
    new VIX matrix with them included by default."

    If you use OptionVue, just add the VX futures contract to your VIX matrix! Pretty simple to do.

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