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Stock版 - 做VIX ETF/ETN options的要注意流动性问题
E***r
2017-01-12 01:38:36
1
我在看某篇文章
http://seekingalpha.com/article/4035113-trading-vix-update-2017-starts-blast
下面有段评论提及的风险我觉得很有道理
But just as a remainder, 24-Aug-2015, just before market open (with SPY -5%)
CBOE stopped to post VIX index quotes. Without VIX real time quotes market
makers moved VXX options bid and ask prices to default bid/ask orders which
are 30% below real bid and 30% above real ask. For those who had to
liquidate positions it was a complete disaster.
碰到崩盘的时候options远没有underlyings容易跑路
z***e
2017-01-12 02:23:35
2
When VIX finally spikes up, these are high class problems if you play the
long side of VIX and VXX calls :)
VIX futures and VXX would still be trading which you can use to close the
option position. It will move very fast so timing is more important than bid
/offer in my opinion.

%)
market
which

【在 E***r 的大作中提到】
: 我在看某篇文章
: http://seekingalpha.com/article/4035113-trading-vix-update-2017-starts-blast
: 下面有段评论提及的风险我觉得很有道理
: But just as a remainder, 24-Aug-2015, just before market open (with SPY -5%)
: CBOE stopped to post VIX index quotes. Without VIX real time quotes market
: makers moved VXX options bid and ask prices to default bid/ask orders which
: are 30% below real bid and 30% above real ask. For those who had to
: liquidate positions it was a complete disaster.
: 碰到崩盘的时候options远没有underlyings容易跑路