VIX - ETFs/ETN's vs Futures

lindq

lindq

Any EXPERIENCED VIX traders here? I've been trading a few VIX ETNs the past few months, and have enough under my belt to start thinking about the VIX futures contracts, and any pros/cons for use intraday.

Comments appreciated if you've traded and compared both ETFs/ETNs and Futures.
 
d08 said:
You're not frightened of the spread on VIX futures?
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Well, that's why I'm asking. Spreads, volume, tracking the underlying VIX, all open questions for any experienced comments. I've been very pleased with the ETFs/ETNs, but hey, we're always looking, aren't we?
 
Absolutely, I just hate the minimum spread which in percentage terms is quite high. ETFs offer plenty of liquidity as well but not what the futures do obviously.
 
d08 said:
Absolutely, I just hate the minimum spread which in percentage terms is quite high. ETFs offer plenty of liquidity as well but not what the futures do obviously.
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I appreciate the comment about the spreads. Yes, they are high in relation to price, and would detract from my net.
 
Regarding the spread, I think it may not be that relevant. The vix ETNs are tracking the corresponding S&P VIX future indexes which are directly computed from the VIX futures. The spread of 1 cent for short term VIX futures ETNs may be much smaller than the spread for the underlying VIX futures but I guess you may have a "stale" price in those ETNs and they might oscillate superficially faster than the underlying futures. All things combined, the edge in the narrow spread from the ETN may not be that large as we have perceived let alone the fact that you can place a trade at settlement for the VIX futures. That is only my guess since I have not really traded both instruments for the same strategy to see which one is better.
 
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