Haha 15 minutes before settlement bids on super far out of the money options that pushed VIX settlement it sounds like from 15 to 17. Do the regulators actually look into this BS? Or are people just like "well there might be some manipulation there, guess we will never know!"? I mean, they should easily be able to track down the guy that put in those bids right?
VIX manipulation - should I wait for expiration on futures instead of rolling earlier?
- Thread starter Saltynuts
- Start date
Haha 15 minutes before settlement bids on super far out of the money options that pushed VIX settlement it sounds like from 15 to 17. Do the regulators actually look into this BS? Or are people just like "well there might be some manipulation there, guess we will never know!"? I mean, they should easily be able to track down the guy that put in those bids right?
Not quite,
First, buying or selling the VIX futures isn't going to help you much in the morning. You don't know where the underlying is going to mark and you also won't be able to get a lot of size either at this time.
Putting up bids or offers on the SPX options used in settlement isn't going to do anything either, unless you are willing to buy 10,000 options in 20 different strikes. Remember if you are selling too cheap or paying too much someone will buy or sell them down to the correct price. In order for it to work, you would have to outsize the market, so buy or sell hundreds of thousands of options. This is the way the CBOE attempts to minimalize shenanigans, they show everyone what the bids and offers are on these options, including size, and allow the world to participate in the opening.
Along with markets on the individual VIX futures, the CBOE also trades time spreads, as spreads. So there is a product that is the June/May Vix spread. You can buy or sell it, thus buying one month and selling the other month. This way you won't have to leg the spread.
Most of us don't have a lot of choice on our last name, and for that reason most of us don't judge someone on it, certainly irrelevant to a person's financial savvy, no? You don't like his opinions critique the opinions, his name's got nothing to do with anything and bringing it up is kind of a wanker thing to do, quite frankly.
FSU, thanks so much! On the VIX spreads, I'm searching like heck for what you are referring to, but all I'm seeing when I search VIX spreads is people talking about going long one date VIX futures and short another VIX futures, not seeing a separate product that is some kind of spread between the two. Are you maybe referring to the VIX weeklies? I still think you have to leg into those. Thanks!
He’s the head of strategy at macrorisk advisors: an upstart equity derivatives dealer that produces unique viewpoints and research for volatility traders. But his name disqualifies anything interesting he could say. If his name were “winthorp” or “Smith” he would be worth listening to.
The options trade... so there's nothing they can initially do. Yes, it's done to spike up the VIX... but it's not like they 'spoof' it. They actually trade it through normal market.
That said... I bet there's a few parties that are doing this and they do it together to keep the cost down in purchasing those puts. Transaction value is millions. So, if they are colluding... than that's illegal IMO. Also... if you rape the market like that, that's close to market abuse.
No, there is a market quoted for the VIX futures time spreads. You actually buy or sell the time spread, not simply leg the two sides. For example the symbol in Redi is VXK8-VXM8, this is the May/June time spread. The current quote is .08/.09. Another advantage is the price is quoted in pennies, so you will give up less slippage compared to legging the individual sides which have a minimum tick in nickels.
Last edited: