This is full version from Bloomberg https://www.bloomberg.com/view/articles/2017-05-24/vix-trading-hoaxes-and-blockchain
The VIX manipulated? You don't say!? An index calculated on OTM, wide spread bid/ask, options that are less liquid than the average is begging to be manipulated. Similarly, /VX futures can influence /ES futures which can then influence S&P. Not sure anyone has enough capital to clear multiple levels of the SPY limit book. Some do for the /ES book during certain times of day. The /VX book? a million bucks could cause a flash crash or spike if done at the right time. Would probably not be a profitable trade though. Try this: Plot VIX and SPYIX on a chart, then add a correlation (VIX/SPYIX) indicator with a period of 2 or 3 (short yes I know). Throw another corr indicator on there for SPYIX/SPY if you're feeling curious. Now observe what you see and then ask yourself which is a more reliable measure. Don't bother trying to create a strategy with this though, the profit opportunity was much been arbitraged away over the last year or so.
Not to nitpick, but it doesn't seem like a million bucks would be enough to crash VX futures. The inside bid/ask always has hundreds of contracts usually on both sides even in ETH. The current inside bid right now (6 PM central) is 631 contracts. You'd need almost 4 million in margin just to sell through the current bid level. I don't have level II so I can't see the whole DOM. Am I missing something? I don't look at the back month contracts so not sure about those.
Lol. Really? Besides the depth of the book (which is significant), there are the algo curve traders if you are planning to do it in a single contract. Plus, there is a hoard of vol traders like yours truly that are looking at the futures/strip/variance arbitrage. This is actually old news, that's why CFE has introduced a new settlement procedure. Used to be ever easier, with the "lowest strike with valid bid" rule, you just had to show a tiny bid in the low part of the strip.