The Week of the Ever-Expanding 1 Day VIX

Andrew Giovinazzi

Yo Pit Crazies,

Understanding option products is part of the game. The explosion in 0DTE options volume led the Cboe to invent the 1 Day VIX (Ticker: VIX1D). And every day since they launched it, the VIX1D had a white candle.

Licia Leslie – the Queen of the Candlesticks – told me that a white candle shows that the underlying finished higher than it opened. That means VIX1D has finished higher than it opened everyday since it is listed.

Something is fishy. And the Fed will have another interest rate meeting.

Let’s take a look.

VIX1D Has the Devil in the Details

VIX1D uses the same VIX methodology but on 0DTE and 1DTE options. At the start of the day the ratio is roughly 50/50, but as the day wears on the 0DTE goes away and the 1 Day becomes dominant in the calculation.

VIX1D can open lower than the previous day and then gain in value. The result looks like coming in on a Monday, and we get the VIX cash pop putting the weekend back in. The lower weighted vega expires on the 0DTE, leaving the 1DTE with the heavier vega and higher VIX1D on the close.

As a product index it can move. So trading a VIX1D would be interesting depending on the type of product the Cboe creates.

Truth be told I am still understanding how this works to get the feel of what it means when I see the numbers.

When I can feel something, bad or good, I understand it. VIX1D premiums have doubled in a week so something is going to happen, that I know, just not sure in which direction.

Speaking of VIX, massive contango in the short term so shorter term volatilities still look relatively cheap. VIX1D options do not factor directly into VIX calc so think more 23-30 day.