The last over $5 close was 5-Nov-2024.
einpresswire.com/article/7729...

That seems a bit of a stretch, but a possible mechanism. In any event, if this continues, it will be good news for tail risk hedgers, because their leverage factors seem to be improving for schemes using VIX options, Long Vol ETFs & their options.

2. there might be a dynamic driven by the 0DTE options. I'm sure the implied volatility of those explodes on a day like yesterday (18-Dec-24) and the overall term structure of the SPX/SPY options has to adjust to that to avoid free money, arbitrage style trades.

As to root causes, I doubt these outsized moves in the bid/ask of these 30-day-out OTM $SPX/$SPY puts are demand-driven, so possible drivers might be:
1. changes in how the option market makers are managing risk, or

These moves are particularly hard on the inverse VIX ETFs (e.g. $SVIX, $SVXY, $ZVOL) because they rebalance end-of-day, and as a result, lock-in the damage from the spike even if there's a big volatility drop the next day.

driving VIX options and Vol ETF prices also. Not abnormally, as in 5-Feb-2018, when the VIX futures gapped up due to a volatility hole, but with the typical constant maturity mix of M1/M2 futures having a beta of about 0.5 relative to the VIX percentage move.

That seems a bit of a stretch, but a possible mechanism.

or 2. there might be a dynamic driven by the 0DTE options. I'm sure the implied volatility of those explodes on a day like yesterday (18-Dec-24) and the overall term structure of the SPX/SPY options has to adjust to that to avoid free money, arbitrage style trades.

and as a result lock-in the loss even if there is a big volatility drop the next day. As to root causes, I doubt these outsized moves in the bid/ask of these 30-day-out OTM puts are demand driven, so possible drivers are 1. changes in how the option market makers are managing risk,

Not abnormally, as in 5-Feb-2018, but with with the constant maturity mix of M1/M2 having a beta of about 0.5 relative to the VIX percentage move. These moves are particularly hard on the inverse VIX ETFs (e.g. SVIX, SVXY, ZVOL) because they rebalance end-of-day,

Hi Saqib, Yes, this phenomenon of big percentage moves in the VIX reacting to relatively small SPX moves seems to be getting even more sensitive. I'd be inclined to dismiss them as noise, but the investable, VIX futures are reacting too, driving VIX options and Vol ETF prices also.

This implies that it's the out-of-the-money puts in SPX that are really juicing the $VIX. There likely isn't much volume in thoseinsurance-stylee OTM SPX puts, but if their ask jumps the VIX will jump.

nations.com/wp-content/u...

My guess is this approach enables the Cboe to repurpose a lot of VIX based software. For attributes of these new CBTX options see: x.com/6_Figure_Inv... #BTC #BTCUSD

I haven't seen any specifics on this settlement process. I'd be surprised if it is as elaborate at the VIX process, which includes a live auction. Its specifics will be driven by the needs of the CBTX option market makers

The Cboe also started quoting $CBTXS, cboe.com/us/indices/d...
labeled the "AM settlement Value" index for CBTX. This suggests the CBTX option expiration/settlement process will resemble $VIX options, expiring at market open, with an expiration price based on a calculated index quote.

As anticipated, the notional value of the CBTX options will be pretty high, over $250K most likely, with 1/10 size MBTX options available.

Target number of ETFs in the index is between 10 and 13.

Cboe also went live with quotes on $CBTX (right now at 2265.23) with backtest values starting at 1000 on 19-Jan-24, a few days after the spot BTC ETFs started trading. cboe.com/us/indices/d...

My quick read confirms a cap-weighted S&P 500 index-style approach using non-leveraged spot Bitcoin ETFs (e.g., IBIT, GBTC) with $75M or more in assets. The main wrinkle I see, is that the cap weighting is limited to no more than 20% for the biggest ETF and 10% for the 2nd through 5th largest ETF.

Saves the ETF issuers the cost of creating an index, so that alone would make the active designation attractive.