As the market has declined, $VIX has risen dramatically. As owners of $VIX futures – now joined by owners of $VIX calls – have come to expect, though, the futures and options have not followed $VIX higher. This has generated a torrent of frustrated and sometimes nasty email to us. Owners of these products are incredulous as to how this can continue to be. We have explained the process at length, but we agree that something does not seem right here. So we decided to take a much closer look. Doing so involves getting into the very arcane formula for $VIX (if you care, it is published in a “white paper” on the CBOE web site).
