VIX futures

General discussions about futures.
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TrendsCatcher
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VIX futures

Post by TrendsCatcher » Mon Apr 28, 2008 3:34 pm

Anyone trading the VIX futures regularly? Any suggestions on the pros and cons of long or short of the VIX futures. I did a little bit shorting in March when the VIX spiked, with good result. Now with the major equity indexes sitting at strong resistance and on the basis that the intermediate term lack breadth (the NASDAQ A/D line failed to break downtrend while NASDAQ composite is make intermediate term highs), I would bet a swift down move next couple of weeks (personal opinion only, more likely to be wrong than not). So I went long a little bit of the VIX May contract the day before. I am sitting on a small loss right now, but because this game is so different from the rest of the futures/commodities universe, in that VIX is certinaly mean-reverting, instead of mean-fleating like the other markets, I am planning not to cut losses, and will stick it out, if this month doesn't work out, I'll roll to the next month, waiting for the inevitable down leg in the stock maket. Your thoughts, insight, and experience?

danZman
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Post by danZman » Mon Apr 28, 2008 7:00 pm

I've looked into them a bit. I've read a few discussions about them...found that the far off contracts don't move in lock step with the cash index at all. The open interest is 48,000...not terrible, and it keep going up.

A lot of quote vendors seem to have missed this contract for some reason.

D

zacharyoxman
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Post by zacharyoxman » Mon Apr 28, 2008 10:34 pm

I have traded VIX futures. Different desk all together through MF Global. The fills I received were of good quality and I believe that this is a good quality market that you can trade.

Feel free to PM or email me (or call) if you want to talk about this a bit more.

Zach
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Post by TrendsCatcher » Tue Apr 29, 2008 4:53 pm

Who are trading the VIX futures besides retail customers? Are the pension fund, mutual funds, and hedge fund using it? I would guss not, becuse the volume is not terribly impressive. Then how do they do dynamic hedging nowadays, still buying index puts? or selling futures?

svquant
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Post by svquant » Wed Apr 30, 2008 9:53 am

Hedge funds are not trading VIX futures but they do trade volatility via VolSwaps which are large and liquid on the OTC markets.

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Post by TrendsCatcher » Wed Apr 30, 2008 10:52 am

svquant, do you see any sign that the VIX futures will steal business from the OTC VolSwaps market. If not, what are the major reasons?

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Post by svquant » Thu May 01, 2008 9:39 am

Don't see them taking business from the OTC market unless there is a huge counterparty default and people want, demand, or legislate a single clearing party. Even then it will not be a given.

The market is reasonably liquid and deep for the big players and easy to value so no need to change - that does not preclude the VIX futures from being liquid enough for a wide range of traders and small to medium CTAs etc. Just look at the CME FX contracts - they are a very small percentage of the interbank market volume but have more than enough liquidity and low slippage that people & funds can trade them with no issues.

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Post by Zoso » Tue Sep 20, 2011 12:27 pm

A CBOE rep met with my firm the other week and had some interesting updated information on the VIX futures. Granted August 2011 was an anomolous month with regard to volatility in the stock market, but the average daily volume for the VIX exceeded 79,500 contracts for the month. Apparently VIX ETNs have been responsible for significantly boosting volume in the VIX futures. I think we'll take another look.

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