Vix is not traceable but... Can I bet it?

Chronos.Phenomena · Feb 6, 2012

Okay. We can't trade vix directly (spot) but is it possible to use one of the spread betting firms to place a bet? I presume it's possible but I never tried spread betting. Anyone here who did something similar?

Ps.
Vix closed at 17.78 today I was wondering if someone with spread betting account could post a quote here.

Thanks

atticus · Feb 6, 2012

Quote from Chronos.Phenomena:

Okay. We can't trade vix directly (spot) but is it possible to use one of the spread betting firms to place a bet? I presume it's possible but I never tried spread betting. Anyone here who did something similar?

Ps.
Vix closed at 17.78 today I was wondering if someone with spread betting account could post a quote here.

Thanks

Nobody can replicate vol at 17.78, so no, you're not going to find a quote. Look to the nearest VIX futures or the synthetic, which is currently trading at a $0.30 premium.

total_keops · Feb 6, 2012

The VXX ETF.
Understand what you are doing before betting on it. This ETF uses futures so there is a rolldown. This shit tends to zero long term so no you can't just park money in it waiting for the next 400% pop.

tenthousandmen · Feb 6, 2012

Quote from total_keops:

The VXX ETF.

Also TVIX and XIV. Note that they're not very good and you mind as well just trade ES futures.

atticus · Feb 6, 2012

Quote from total_keops:

The VXX ETF.

Which is 650bp over cash.

trefoil · Feb 6, 2012

...and of course options on VIX. But they trade on the futures not the cash price, with the front month options valued against the front month futures contract, natch.

Quick quote here: http://www.cboe.com/micro/VIX/vixintro.aspx

G2 is the front month.

total_keops · Feb 6, 2012

Quote from atticus:

Which is 650bp over cash.

The ETF being a portfolio of futures and cash I guess it performs as good as that if you assume that banks and Hedge funds are doing the arb. And I would bet they do. I think the holdings are available in Bloom and dudes just arb it when it is skewed. So I think the ETF or futures are a similar trade (close in effectiveness). But of course it is far from the index itself.

total_keops · Feb 6, 2012

You could also have a portfolio of options on the S&P500 that is hedged for everything except the volatility.

atticus · Feb 6, 2012

Quote from total_keops:

You could also have a portfolio of options on the S&P500 that is hedged for everything except the volatility.

Yeah, a varswap.

Chronos.Phenomena · Feb 6, 2012

Thanks guys...

tried number of times with ETFs and mini futures, but my daily bets on VIX itself ended up being almost unprofitable even if I correctly predicted VIX. Simply because futures and ETFs are not as volatile (or shell I say responsive) as VIX... price action is kind of smoothed in futures and ETFs and that's exactly what I don't want..

I'll keep trying to find right vehicle and keep enhancing my VIX models

Any experience on spread betting as a vehicle?

Thanks