VIX VXN VXD FUTURES at the CBOE

[iqfeed]

Quote from Quartz:

anyone else having problems getting VIX quotes today ??

The CBOE has informed vendors that the VIX is not being calculated or disseminated. This issue is being investigated by the CBOE and no timeframe was given for its resolution.

Jay

 

[FourZebra]

Quote from gekko:

Look at the cost of carry. Huge. Makes it a fairly expensive way to hedge your portfolio.

What is the cost of carry? Changing from one month contract to the next month's? How high is the cost?

 

[atticus]

The VIX options are marked to VBI futures within close tolerances, like it or not. The vol of vol markets are the natural-hedge, but out of reach of the product's intended audience.

As it stands, the VBI futures are an acceptable spot contract for conversions at any strike, but I don't expect to see any institutional participation beyond the specialty derivatives props. They must be chomping at the bit to trade against the retail paper.

 

[Kevin Schmit]

Quote from atticus:

As it stands, the VBI futures are an acceptable spot contract for conversions at any strike

Not for any price taker, the spreads are too wide, both
in the options and the futures. Neither conversions nor
reversals are tradable buying on the offer and selling
to the bid.

And there is so little retail volume, you will only rarely get
filled trying to buy at the bid or sell on the offer. Just as
an exeriment, I tried today. For most of the last hour of
trading, I was the best bid on the Jun VBI, the best bid
on the Jun 13 Puts and the best offer on the Jun 13 calls.
Not one of the three was hit, not even for a single contract!
There is no buy-side there at all.

.

 

[rallymode]

Quote from Kevin Schmit:



And there is so little retail volume, you will only rarely get
filled trying to buy at the bid or sell on the offer. Just as
an exeriment, I tried today. For most of the last hour of
trading, I was the best bid on the Jun VBI, the best bid
on the Jun 13 Puts and the best offer on the Jun 13 calls.
Not one of the three was hit, not even for a single contract!
There is no buy-side there at all.

.

Well, you picked one of the worst contracts and days of the week to make a point. June vix ops just got listed and Fri was the first trading day if i am not mistaken. Activity hasnt picked up yet. Front month conversions/reversals can be traded at -10 to -15 bps in edge which is consistent with equities. I am hit on bids and asks consistently throughout the day for much more than 1 lots, so to parallel your statement, i guess i can go ahead and claim that there is a lot of buy-side interest.

 

[atticus]

Quote from Kevin Schmit:

Not for any price taker, the spreads are too wide, both
in the options and the futures. Neither conversions nor
reversals are tradable buying on the offer and selling
to the bid.

Well, I wouldn't hold your breath for market-price arbs on any spot in this Universe. Did you miss the point?

 

[volatilitypimp]

Quote from atticus:



As it stands, the VBI futures are an acceptable spot contract for conversions at any strike, but I don't expect to see any institutional participation beyond the specialty derivatives props. They must be chomping at the bit to trade against the retail paper.

I certainly would love to trade this against retail paper, but our office doesn't have access to any futures, much less VBI futs for that matter.