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Article has a Good explanation of 0DTE; there are 1DTE,..., NDTE, etc too. There is nothing new here as all options near expiry will go through these phases. But no-commission trading makes this trading possible for retail (in the old days, $5-10 commissions per options contract (100 shares) didn't make this worthwhile except for dealers).
Concern is that this options activity is outside of formal measurements like VIX that are options-based but use options with 30 +/- 7 days left to maturity. I suppose new real-time options measurements may develop to capture NDTE in future, but all we can do for now is watch their huge volumes.
Forsyth in last week's Barron's also had a warning on them.
”Forsyth in last week's Barron's also had a warning on them.”
Yes. I caught that. Suppose it’s like anything else. Will work until it doesn’t any more. Fortunes may be made and fortunes lost before it’s all over. I think the relevance to myself and many here is that it helps explain a lot of the recent volatility / sharp midday reversals that occur for no other apparent reason.
There are already VIX for 9 days (VIX9D), 3 mo (VIX3M), 6 mo (VIX6M), 1 yr (VIX1Y).
Just as the regular VIX (for 30 days) uses SP500 options that bracket 30 days +/- 7 days, VIX9D brackets 9 days options (unclear by how many days +/-).
These symbols are also recognized by Yahoo Finance as ^VIX9D (with very limited History), etc, but not by StockCharts (only $VIX is recognized among these). Both have quite a bit of History for regular ^VIX or $VIX.
Yahoo Charts for 1 mo for ^VIX and ^VIX9D look similar although ^VIX9D values are slightly higher. For ^VIX9D, the Yahoo Summary page chart is good for 1D, 5D, 1M, YTD, but nothing else. The Yahoo Chart and History tabs doesn't pull any data.
My guess is that CBOE is looking into even shorter-term VIXnD whose brackets may include 0DTE.
If one includes FanDuel and related; as well as the local casinos (quite a few in Michigan) and mix in the above VIX's, we have many ways to wound our portfolio, eh?
Comments
Concern is that this options activity is outside of formal measurements like VIX that are options-based but use options with 30 +/- 7 days left to maturity. I suppose new real-time options measurements may develop to capture NDTE in future, but all we can do for now is watch their huge volumes.
Forsyth in last week's Barron's also had a warning on them.
Yes. I caught that. Suppose it’s like anything else. Will work until it doesn’t any more. Fortunes may be made and fortunes lost before it’s all over. I think the relevance to myself and many here is that it helps explain a lot of the recent volatility / sharp midday reversals that occur for no other apparent reason.
Just as the regular VIX (for 30 days) uses SP500 options that bracket 30 days +/- 7 days, VIX9D brackets 9 days options (unclear by how many days +/-).
These symbols are also recognized by Yahoo Finance as ^VIX9D (with very limited History), etc, but not by StockCharts (only $VIX is recognized among these). Both have quite a bit of History for regular ^VIX or $VIX.
Yahoo Charts for 1 mo for ^VIX and ^VIX9D look similar although ^VIX9D values are slightly higher. For ^VIX9D, the Yahoo Summary page chart is good for 1D, 5D, 1M, YTD, but nothing else. The Yahoo Chart and History tabs doesn't pull any data.
My guess is that CBOE is looking into even shorter-term VIXnD whose brackets may include 0DTE.
VIX9D
https://www.cboe.com/us/indices/dashboard/vix9d/
https://finance.yahoo.com/quote/^VIX9D?p=^VIX9D&.tsrc=fin-srch
VIX investment items found with a quick search
If one includes FanDuel and related; as well as the local casinos (quite a few in Michigan) and mix in the above VIX's, we have many ways to wound our portfolio, eh?
So, I NOW see Stockcharts symbols for VIX for 9 days $VXST, 3 months $VXV, 6 months $VXMT (none for 1 year).
StockCharts also has MORE data. Here are the charts for $VXV and $VIX, and my previous observation is seen clearly - the 2 are quite similar but 9 days VXV is slightly higher than 30 days VIX.
https://stockcharts.com/h-perf/ui?s=$VXST&compare=$VIX&id=p42404218433