HFT with VIX futures

Discussion in 'Index Futures' started by GordonTheGekko, Oct 20, 2011.

  1. GordonTheGekko

    GordonTheGekko Guest

    One strategy I'm working with is day trading VIX ETF's such as TVIX and XIV. On a very short term, intraday basis, the VIX moves perfectly inverse with the S&P tick-for-tick, but obviously with much more amplified movements, so it brings additional leverage.

    I'm wondering if day trading the VIX futures as many as 300 times a day is plausible. The VIX ETF's and ETN's do not move very well with the VIX, so perhaps futures would be a more efficient method.

    Thanks for your attention!
  2. Did you bother to look to see what volume the VIX futures do?

    HFT, LOL.
  3. GordonTheGekko

    GordonTheGekko Guest

    300 trades isn't quite hft, so I thought itd be possible. What are your thoughts?
  4. You will have many more risks than just how the market is moving.

    Liquidity is more likely to dry up (especially if you are short); but for a retail account probably okay. You will be paying more "in delta" than if you just traded ES futures.