VIX to ES? Anyone spread this?

T

twoshepards

I've been playing around with a spread between CBOE VIX futures vs. CME emini futures. Anyone else in that arena? Any thoughts on this?
 
Quote from twoshepards:
----the spread between CBOE VIX futures vs. CME emini futures.
----thoughts.....
More...
The ES is the "locomotive" and the VIX is the "caboose".....most of the time. Consider using the ES to take a contrary outright position in the VIX. :eek: :D
 
That's they way I see it as well. I'm using a 5 ES / 12 VM ratio....today the first attempt and I'm wondering about my ratio...on a tic per tic basis i'm $60 per side now, but es tick soo much more, it's opening up a lot of opportunity.
 
A market neutral trade is a play on variance. There isn't any edge in the trade currently as VIX front month futures are at a discount of 200bp or so, noise.

1059.50 last, ugly.
 
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