VIX Futures bid/ask spread

M

MoneyMatthew

I don't have access to an intraday feed yet for VIX Futures but does anyone know how wide the bid/ask spread is on average during RTH?? I heard that it is 5 ticks wide on average, I hope I heard wrong.

The intraday mean reversion/reversals from Upside to Downside are amazing in the VIX. I see it happening over 72% of the time daily in backtested data. Fading the upside looks like a great play in the VIX Futures but a wide bid/ask could easily kill potential profits. This product is more than just an inverse to ES, the time decay on s&p implied vol helps erode and drag this thing down. Again, further reasons to look for upside reversals every day.

So what is the average bid/ask spread? Thanks.
 
The contract trades in nickels so yes, there's a .05 spread but if it's liquidity you're worried about, don't. There's plenty of action in #VX_F.
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The VX futures contract is very expensive to trade in relation to its average price range. I have my own formula of measuring the trading cost - I take the 5 day ATR and determine the % of the trade cost based on the avg bid-ask spread cost. The VX trade cost, holding for one day has been between 9 & 10% over the last month or so.

To give you an idea the NQ trading cost is 0.45%, the ES is 2% using the same formula. The high trading costs equates to eating more on losing trades, and making less on the winners. Be aware that you cant use a stop, it has the be a stop-limit.
 
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comagnum said:
The VX futures contract is very expensive to trade in relation to its average price range. I have my own formula of measuring the trading cost - I take the 5 day ATR and determine the % of the trade cost based on the avg bid-ask spread cost. The VX trade cost, holding for one day has been between 9 & 10% over the last month or so.

To give you an idea the NQ trading cost is 0.45%, the ES is 2% using the same formula. The high trading costs equates to eating more on losing trades, and making less on the winners. Be aware that you cant use a stop, it has the be a stop-limit.
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The Vix Futures came up on my radar when I ran a study of which futures products hit their 5 Day ATR/2 and Close below the Open intraday. The Vix does this 72% of the time Upside to Downside over the last year.

Tick size in relation to average daily range is a good metric like you said comagnum. Sometimes a higher win rate can overcome a poor tick-to-range ratio or bid/ask spread to range ratio.

Thanks for the info.
 
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