VIX ETF/Futures/Options Discussion Thread

pistolpt · Jun 5, 2012

Just wondering what kind of returns you guys make trading your VIX Futures day in and day out. I built a longer-term swing strategy involving these that annualized 80% with 50% vol over 8 years.

Ugly but works.

sellindexvol66 · Jun 5, 2012

the returns are meaningless imo for so many reasons. i would suggest you trade it live for a good year if you can last that long and see if you can match the theoretical back tests.

Jgills · Aug 22, 2012

the past few days I have seen a bunch of EX (Exchange for physical) prints in the sep vix future. the size is typically pretty large (>1K contracts per day, roughly 2.2k today 8/22/2012 between 12-1pm)

does anyone know what these prints are from? is someone exchanging the corresponding option strip?

looking forward to a response to this, thanks

FSU · Aug 22, 2012

Quote from Jgills:

the past few days I have seen a bunch of EX (Exchange for physical) prints in the sep vix future. the size is typically pretty large (>1K contracts per day, roughly 2.2k today 8/22/2012 between 12-1pm)

does anyone know what these prints are from? is someone exchanging the corresponding option strip?

looking forward to a response to this, thanks

What do you mean by Exchange for Physical prints? How is this different from other prints?

Jgills · Aug 22, 2012

Quote from FSU:

What do you mean by Exchange for Physical prints? How is this different from other prints?

exchange for physical prints have an "EX" next to them, where as other prints may have an "SP" for spread, or no designation next to it, which i believe is outright.

newwurldmn · Aug 22, 2012

Quote from Jgills:

exchange for physical prints have an "EX" next to them, where as other prints may have an "SP" for spread, or no designation next to it, which i believe is outright.

Could it be efp to an etn like vxx?

I know it's possible to create/redeem some of them.

Jerkstore · Aug 26, 2012

Quote from Jgills:

the past few days I have seen a bunch of EX (Exchange for physical) prints in the sep vix future. the size is typically pretty large (>1K contracts per day, roughly 2.2k today 8/22/2012 between 12-1pm)

does anyone know what these prints are from? is someone exchanging the corresponding option strip?

looking forward to a response to this, thanks

Yes, the other side of the EFP vix transaction is a variance strip in the SPX.

newwurldmn · Aug 26, 2012

Quote from Jerkstore:

Yes, the other side of the EFP vix transaction is a variance strip in the SPX.

To EFP a vix future, you have to trade 2 strips of options. Does anyone do this? Seems like a complete pain in the ass + obscenely inefficient.

Jerkstore · Aug 27, 2012

Quote from newwurldmn:

To EFP a vix future, you have to trade 2 strips of options. Does anyone do this? Seems like a complete pain in the ass + obscenely inefficient.

Well, there's the downside puts and upside calls, but the EFP strip is from one expiration, not two. You are thinking of the vix cash calculation.

It does seem innefficient, but the CBOE has taken steps towards streamlining the process, and now allows the variance strips to be traded without the futures side. I cant say exactly how the process works, since I've never traded an EFP.

newwurldmn · Aug 31, 2012

Quote from Jerkstore:

Well, there's the downside puts and upside calls, but the EFP strip is from one expiration, not two. You are thinking of the vix cash calculation.

It does seem innefficient, but the CBOE has taken steps towards streamlining the process, and now allows the variance strips to be traded without the futures side. I cant say exactly how the process works, since I've never traded an EFP.

As the future represents forward vol (30 day vol from the expiry of the future), you would need "sell" one vix to "buy" the other. So to replicate oct futures, you would buy the nov strip and sell the oct strip of listeds. Just like you would if you were to synthetically create forward var.

Or am I missing something here?