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EliteVol

@EliteVolatility

Volatility trader specialized in developing/maintaining adaptive algorithmic trading strategies

 Brussels, Belgium
Joined May 2018
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Today's $VIX expiration should be one for the ages. Current VIX is anybody's guess, as option markets remain closed as long as $ES is in limit-down. SOQ will be chaotic, especially if stocks hit the -7% circuit breaker at the open.
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cnbc.com/2025/05/06/trump-tr… #ES_f soaring
Trump officials Bessent and Greer to meet with Chinese counterparts on trade, economic issues

Trump officials Bessent and Greer to meet with Chinese counterparts on trade, economic issues

President Donald Trump earlier in the day had downplayed tariff negotiations, saying at the White House, "We don’t have to sign deals."

cnbc.com
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For reference: Circuit breaker/Limit Down on Jun #ES contract kicks in at 4755.25 Jun #NQ at 16321.25
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$VXX Better double check guys 🤔
Image from EliteVol (@EliteVolatility)
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Did I miss anything while I was gone? 😅
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Following recent rollout of EAFE (VXMXEA) and EM (VXMXEX) VIX indices, CBOE set to launch new range of options based on MSCI global indices on March 18th: World Index Options (MXWLD), ACWI Index Options (MXACW), and USA Index Options (MXUSA) prnewswire.com/news-releases…
Cboe Global Markets and MSCI Collaborate to Offer New Index Options and Volatility Indices

Cboe Global Markets and MSCI Collaborate to Offer New Index Options and Volatility Indices

/PRNewswire/ -- Cboe Global Markets, Inc. (Cboe: CBOE), the world's leading derivatives and securities exchange network, today announced a new strategic...

prnewswire.com
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#CNN Fear and Greed Index completely broken for 3 days now🤨🤫
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New CBOE Dispersion Index, announced last year, will launch on September 27 👇 ir.cboe.com/news/news-detail… $VIX
Cboe Global Markets and S&P Dow Jones Indices to Launch the Cboe S&P 500 Dispersion Index on...

Cboe Global Markets and S&P Dow Jones Indices to Launch the Cboe S&P 500 Dispersion Index on...

New Cboe SP 500 Dispersion Index (DSPX) expands Cboe's leading suite of volatility indices The first-of-its-kind index designed to measure expected dispersion in the SP 500 Index Aims to provide...

ir.cboe.com
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Historical values for the now adequately dubbed "Opportunity Index" have been made available by CBOE (data going back to 2014) and can be found here 👇 cdn.cboe.com/api/global/us_i…
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$VIX VRO @ 16.28
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Exactly 50 years ago today, regulated Call Options of 16 companies started trading at CBOE: They were: AT&T,Atlantic Richfield,Brunswick,Eastman Kodak, Ford,Gulf & Western,Loews,McDonalds,Merck, Northwest Airlines,Pennzoil,Polaroid,Sperry Rand,Texas Instruments,Upjohn and Xerox
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Converting VIX1D closing prices (calc'ed from bus. days) back to cal. days is relatively easy given that there is no interpolation at the close (1 exp only). It clearly shows why CBOE opted for bus. days. As expected, the weekend effect is ridiculous. Spikes remain present $VIX
Image from EliteVol (@EliteVolatility)
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$VIX CBOE has added historical (close only) data for the new VIX1D index going back to May 13, 2022. The data can be found here 👉 cdn.cboe.com/api/global/us_i…
Image from EliteVol (@EliteVolatility)
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I'm sorry @CBOE , but this is wrong. Risk-free interest rate does not care about Business days/years. The Exponential in the VIX1D formula needs to be calc'ed using calendar days, as is the case with $VIX. Granted, effect is negligible, but correct is correct.
Image from EliteVol (@EliteVolatility)
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Many things "wrong" with the new VIX1D index. Interpolation within a 1-day timefr. makes no sense. Open+Close will reflect completely different exp. Business day approach will create weekend effect opposite of that present in other $VIX indices as there IS variance premium on WE!
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The Cboe has published a VIX1D white paper cdn.cboe.com/api/global/us_i… . Some significant tweaks have been made to the methodology to compensate for the short time span of the calculation.
Image from Vance Harwood (@6_Figure_Invest)
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$VIX VRO expiration @ 16.75
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$VIX VRO @ 20.68
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Currently the 5th biggest 2-day VVIX pop since inception in 2006 $VIX
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👉Reminder: $VXX about to reverse split 👈
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$NDX Still a typical bear market rally in my book
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