Options: Dispersions and Volatility Spreads

[WinLoseOrDraw]

VIX options launched on Friday. So far, looks like they're attracting considerably more trading volume than the VIX futures products. And, predictably, so far they're causing a headache for anyone looking to analyze them with traditional pricing techniques.

VIX is ~12 - yet the VIX of VIX is ~90.

http://www.ivolatility.com/options.j?ticker=vix&R=0&top_lookup__is__sent=1

The basic difficulties in trading VIX like this persist: volatility is incredibly well-modelled, and there is no easy arb between VIX futures and spot VIX.

IB does not have them available through the screen yet, but that should change by Wednesday. Will have more comments then.