VIX ETF/Futures/Options Discussion Thread
- Thread starter mahras2
- Start date
If any of you are not on IB and want me to have the CFE add the fly let me know. I'll probably just get it added tomorrow anyway given the large moves there the last 2 days.
Any of you plan to trade any of the new vol products? I messed with VXEEM for awhile but given the future changes at the end of the month I don't think it will be a viable product.
I autotrade the Vstox overnight but it's pretty boring. Next ones coming out are VKospi and a reintroduce of the russell vix - later this month if I believe.
Also, pretty surprising to me how much volume gets through that VXT contract (end of day vix settlement). There's an interesting play there if you know how vix settlement prices are determined and you have a VERY fast connection (you've written direct).
Any of you plan to trade any of the new vol products? I messed with VXEEM for awhile but given the future changes at the end of the month I don't think it will be a viable product.
I autotrade the Vstox overnight but it's pretty boring. Next ones coming out are VKospi and a reintroduce of the russell vix - later this month if I believe.
Also, pretty surprising to me how much volume gets through that VXT contract (end of day vix settlement). There's an interesting play there if you know how vix settlement prices are determined and you have a VERY fast connection (you've written direct).
Anyone know how exactly the VIX ETPs roll over each day?
I understood how much need to be rolled over. The sponsor claims the rollover is done at mid price of bid and ask.
but mid price of which bid ask?
a. bid/ask of two separate lags?
b. the mid bid and ask of the native spread?
Are they dedicated market maker committed to trade with the ETP sponsor at the mid price? given the volume that needs to be rolled over each day, it is difficult for me to imagine that the rollover can be done without affecting price.
njrookie
I understood how much need to be rolled over. The sponsor claims the rollover is done at mid price of bid and ask.
but mid price of which bid ask?
a. bid/ask of two separate lags?
b. the mid bid and ask of the native spread?
Are they dedicated market maker committed to trade with the ETP sponsor at the mid price? given the volume that needs to be rolled over each day, it is difficult for me to imagine that the rollover can be done without affecting price.
njrookie
VIX trades identically to the ES on intraday time segments.
Why bother with all of the largely unpopular/low volume VIX products and just trade the ES with more leverage?
Why bother with all of the largely unpopular/low volume VIX products and just trade the ES with more leverage?
I'll tell you something funny. When VXX first came out they did attempt for a few months to actually hold vix contracts and they paid a fortune on the roll. Super easy money. When they stopped doing that but their NAV kept growing I was doing the same thing - calling Barclays to see how their roll process was going. They would give some vague answer. But then looking at their prospectus carefully you realize it's a totally unsecured note that can be used for 'general liabilities' and they are not obligated to own anything. I'm 99% sure they have no vix exposure. Why should they. Vix now will probably be the same as vix 20 years from now and they get to collect management fees the whole time. GENIUS
You mean they calculate daily implied value using mid b/o at closing WITHOUT actually hold the VIX futures?
I am suspicious:
1. you can swap your positions to futures if you have 50k lot.
2. that is lots of credit risk.
3. on their daily dollar weight chart, they do show the fraction in front and 2nd month futures.
I am suspicious:
1. you can swap your positions to futures if you have 50k lot.
2. that is lots of credit risk.
3. on their daily dollar weight chart, they do show the fraction in front and 2nd month futures.
K. I last read the prospectus about 1.5 years ago. There is actually some separate index they settle to that can be 'adjusted' at will. It's calculated by themselves. My memory is hazy here. But I found it suspicious at the time.
2. I don't see much credit risk. They collected all the money at MUCH higher vix prices. So say they took in $1B and have 300M in obligations. Doesn't really matter what they do with the $1B as it's clearly stated that it's an unsecured liability.
3. Yeah, they show that. And they say how much they have in each future. I think it's misleading. I've called the CFE to see if there are any 'off exchange' trades or agreements not reported in their daily volume. Everything is reported in the daily volume numbers. And they aren't using those crazy variance swaps either. Yet Barclays claims they are fully hedged.
What they are hedging though is future price of vol in like 20 years. They don't need to buy vix to do that. And after taking nearly 50% in management fees over that time they really don't need to own anything other than cash.
And there is NO WAY their roll numbers are transacting in the present volume. If they were actually rolling like they used to it would be obvious in the market.
It was an amazing short when it came out but very hard to get shares. Most of the other vol related products were too. Didn't even matter if it was long or double short vol. They kind of seemed designed to all go down. I only really messed with the first batch of 5 or so. So what I say might not apply to any of the more recent ones.