VIX expectations versus the Roll Yield crushing VXX options
I feel like that title is worthy of a WWF Cage Match special. But really folks, there is something else going on. With the VIX cash closing 21.48 and the VX/F (Jan VIX Future) closing 23.75 there is a solid upward expectation that volatility in SPX is going to pop in the January Cycle. Look at the CFE home page at www.cfe.cboe.com.
As we get ready for the New Year at Option Pit I thought it would be nice to get traders in the mode by setting up their calendars (the real thing, not the spreads) and touch on some issues for 2012.
First off go to the CBOE website and download the 2012 Expiration Calendar (http://www.cboe.com/AboutCBOE/xcal2012.pdf). To understand how option products work you need to know the expiration cycle and how and when they expire. I have a small inset here of the Jan Cycle from the CBOE calendar: