Here’s an FYI that reinforces a lot of moontower 2025 writing on option synthetic futures.
This is from my IBKR screens from 10/22:
Spot VIX was 18.4
I highlighted the March VIX future. It had a mid-market of 21.725
The ATM strike for options on VIX expiring in March is 22.
The combo or price of the 22 synthetic =
call price – put price = 3.50 – 3.78 = -.28
Synthetic future = Strike + Combo = 22 -.28 = 21.72
No arbitrage available folks (as expected).
The synthetic future on VIX and the actual VIX futures trade in line.
💡The VIX options and futures typically expire on the Wednesday morning preceding monthly option expiry cycles. The options cannot be traded between the prior night's close and the Wednesday settlment but the futures can.
I’ve been burying you with investment material, including an analysis of the TIPs + oil…
It recently came to my attention that fellow contributor to the upcoming How I Invest…
From the team behind the Arbor Trading Bootcamps which I constantly say are so good…
A great Munchie today. As usual, I highlight the parts I want to keepsake and…
Workflows are Moontower’s screeners organized around what you’re trying to do: sell premium (Income), buy…
Exponential Wealth: Centuries of Stock and Bond Returns free PDF · 380 pp. In 1976,…