Just doing practice exam questions now for another 29 days.
I’m sure you are loving the studying of options in L2. I, on the other hand. . .
Still not sure why the European exercise would give rise to the price assymetry in VIX. Wouldn’t there be more price assymetry if the VIX options were American, since you would be able to exercise at the spikes? European calls payoff would be contingent on the level VIX on the actual expiration date, so these calls would be worth less.
(And of course, we must assume that VIX is special, given that you can’t really hedge the forward prices like SPX or something. So, intrinsic value during the option life might have meaningfully different properties from intrinsic value at the expiration date.)