OVX futures?

I've been trying to get filled on the gold vix futures (GVF) without paying the full spread... and it ain't happening. The ask/bid is consistently $1 (18.49/19.49 right now).. I'm bidding 0.25 away from the offer at 19.24, and the MM isn't taking it.

That's a really, really wide spread to be paying... my expectation is to hold to expiration as a hedge, but I don't want to overpay this much.

EDIT: Oh hell. I guess I will overpay this much. Hit their offer at 19.49. Now they're up to 19.99.
 
Quote from heech:

I've been trying to get filled on the gold vix futures (GVF) without paying the full spread... and it ain't happening. The ask/bid is consistently $1 (18.49/19.49 right now).. I'm bidding 0.25 away from the offer at 19.24, and the MM isn't taking it.

That's a really, really wide spread to be paying... my expectation is to hold to expiration as a hedge, but I don't want to overpay this much.

EDIT: Oh hell. I guess I will overpay this much. Hit their offer at 19.49. Now they're up to 19.99.
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hey..you went outright long on gold vix futures (no spread )?

i see no volume and what firm are you using?
 
Quote from sellindexvol66:

hey..you went outright long on gold vix futures (no spread )?

i see no volume and what firm are you using?
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Went long 4 the J1 futures, yes. I'm directly short gold vol in another context, so this is a hedge.

I clear through Vision Financial. This isn't a particularly exotic contract though... it's CME, offered right over Globex.
 
Quote from heech:

Went long 4 the J1 futures, yes. I'm directly short gold vol in another context, so this is a hedge.

I clear through Vision Financial. This isn't a particularly exotic contract though... it's CME, offered right over Globex.
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ok, great. i look forward to them coming to ib and getting some options, which should help with vix futures volume. my trade will be spreads in the curve, long vol, short vol.


good luck.
 
Quote from sellindexvol66:

ok, great. i look forward to them coming to ib and getting some options, which should help with vix futures volume. my trade will be spreads in the curve, long vol, short vol.


good luck.
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They're available and quoted on IB now... I tried trading with it yesterday. Symbol is GVXX. But TWS said "could not value this contract at this time", and didn't let me place an order. You should take a look, maybe with a valid "last" price now... you can place orders on IB.

Never mind, just tried. TWS still rejecting it. Options for GVF is supposed to be available now... but I haven't been able to find it. I can't imagine how wide those spreads must be.
 
Quote from heech:

They're available and quoted on IB now... I tried trading with it yesterday. Symbol is GVXX. But TWS said "could not value this contract at this time", and didn't let me place an order. You should take a look, maybe with a valid "last" price now... you can place orders on IB.

Never mind, just tried. TWS still rejecting it. Options for GVF is supposed to be available now... but I haven't been able to find it. I can't imagine how wide those spreads must be.
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lol, thanks a lot..i got them up. can't value it cause only front has traded by you.

i get that all the time in the regular vix when a new month comes on and i want some..always says same thing until some volume gets up there.

again, thanks a lot i will enjoy watching these.
 
Quote from sellindexvol66:

lol, thanks a lot..i got them up. can't value it cause only front has traded by you.

i get that all the time in the regular vix when a new month comes on and i want some..always says same thing until some volume gets up there.

again, thanks a lot i will enjoy watching these.
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Where's the liquidity in the VIX options, by the way? Are the weeklies just completely ignored? I was looking at them, and they're obviously abandoned.
 
Quote from heech:

Where's the liquidity in the VIX options, by the way? Are the weeklies just completely ignored? I was looking at them, and they're obviously abandoned.
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well, they are very new. i've been bidding some lately with no luck. for me i feel vix fut options would be a great fit for hedging so i look forward to good markets there more than gold vix, but i want that gold curve too.

fyi, i'm bidding feb 11 25 call if you want to sell it to me, lol
 
Quote from sellindexvol66:

well, they are very new. i've been bidding some lately with no luck. for me i feel vix fut options would be a great fit for hedging so i look forward to good markets there more than gold vix, but i want that gold curve too.

fyi, i'm bidding feb 11 25 call if you want to sell it to me, lol
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I briefly traded vix vol some time back, and it seemed to be attractive. But I don't know if there's enough research yet to determine whether its priced correctly.

How are you determining a fair implied vol for the vix options? What's typical IV for the more liquid (monthly?) options?
 
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