VIX Futures set to roll 3/26

bebe · Mar 26, 2004

It's been 1 - 1.5 most of the time today

riskarb · Mar 26, 2004

Quote from ktm:

VBI works, thanks. 3.5 points in prem for the May contract? That's huge.

Options are trading?

riskarb

bebe · Mar 26, 2004

No

Aaron · Mar 26, 2004

Thanks for the symbol Bebe. You're a better source for IB information than IB's website!

Aaron · Mar 26, 2004

Looking at the farthest out Nov contract, it looks like the market is saying the base level of the VIX should be about 20.85 (mid point of the bid/offer). With the nearer contracts and the cash VIX below this, we are temporarily in a more-quiet-than-usual market. We should expect volatility to pick up going forward.

If you disagree with what the market is saying, you now have a way to take a position to profit if you are right. Nice!

Zmey · Mar 26, 2004

IB Web site gives you all the information information on page "Futures Maintenance and Overnight Margin Requirements"

Exchange IB Underlying Trading Class Intraday Initial Intraday Maintenance Overnight Initial Overnight Maintenance
CFE VBI VX 1875 1500 3750 3000

Of course, it is easier to post questions in this very knowledgeable forum but you can do your homework instead.

Aaron · Mar 26, 2004

The IB Webpage for the CBOE Futures Exchange still says that information on the futures is "Coming soon!". I'm glad you were able to hunt down the VIX futures information on the margin requirement page. It looks like IB hasn't updated their entire website yet.

nitro · Mar 26, 2004

Quote from Aaron:

Looking at the farthest out Nov contract, it looks like the market is saying the base level of the VIX should be about 20.85 (mid point of the bid/offer). With the nearer contracts and the cash VIX below this, we are temporarily in a more-quiet-than-usual market. We should expect volatility to pick up going forward...

That is not suprising IMO. Interest rates are expected to rise by then, and we have a presidential election after a war near that time as well.

The question is, has the VIX overshot with fear?

nitro

adonos · Mar 26, 2004

Hi, I have some questions that are probably pretty stupid but hopefully someone will answer for me.

1. I guess this is trading at a premium to the VIX index. Why should the forward month be trading at a premium to the index and why would the back months have a larger premium? Is there any reason why the premium would be the value that it is?

2. Are there any arbitrage oportunities with these futures? What would one buy or sell if the futures got too far away from the index value?

nitro · Mar 26, 2004

Quote from adonos:

Hi, I have some questions that are probably pretty stupid but hopefully someone will answer for me.

1. I guess this is trading at a premium to the VIX index. Why should the forward month be trading at a premium to the index and why would the back months have a larger premium? Is there any reason why the premium would be the value that it is?

My guess is that the spread has some relation to the treasury bond/note yield curve. How exactly I have no idea. One thing is for sure, it is not a linear relation.

2. Are there any arbitrage oportunities with these futures? What would one buy or sell if the futures got too far away from the index value?

Well, there is no direct underlying index to keep it "inline" that is tradeable. So index arbing I believe is not possible.

However, some sort of dispersion trading may be possible against it. Not a classic arbitrage though...

nitro