We noted earlier the “noise” in VIX. We are starting to get a picture of what’s happening… and it’s not good. As Bloomberg reports, Group One Trading’s Dominic Salvino warns, inputs to the calculation are going skewy on the VIX in the past couple days because “safety parameters are set to hair triggers” and market makers are going wide more often than not. Yet another market – and The Fed’s direct manipulation tool – is now entirely broken.
As Bloomberg reports,
Inputs to the calculation are going skewy on the VIX in the past couple days because “safety parameters are set to hair triggers” and market makers are going wide more often than not, Group One Trading’s Dominic Salvino said.
CBOE may look at the issue to see if something “more reliable” can be used: Salvino, in phone interview
CBOE spokeswoman didn’t immediately have comment
Was happening, with smaller effects before; now that weeklies are in the calculation, spikes occurring more often
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via Zero Hedge http://ift.tt/139IJtz Tyler Durden