Trading VIX futures spreads is similar to trading SPX calendar spreads, only without the gamma and theta risks. The biggest problem with VIX futures is the lack of liquidity combined with the monthly manipulation of the expiration prices by Goldman. VIX futures will often not correlate to cash, due to some calculation nuances that aren't worth going into at this time. The only VIX cash calculation that matters is the closing print for the VIX contracts. When you talk about dv01, do you mean RHO? RHO isn't that big of a risk in the SPX world, so I am confused as to how dv01 would help price out vix future convergence. Anyone care to enlighten me?
lol vix futures..tons of liquidity there! simply knowing or being wrong on what i trade will not allow you to replicate what few have done. trust me.
I don't know nuthin' about no VIX futures, but I know dv01. "dv01 of VIX futures" makes very little sense.
Here's the secret Martin. Sell far OTM ES puts and then ... Hold. Until. Profitable. I learned this method from Surf's buddy, Victor Neiderhoffer. It also works arbing off-the-run vs on-the-run treasuries. Just ask John Meriwether. Works best when you're trading with OPM.
You forgot to mention you need to skim some of that OPM off in between blow-ups. Just to keep that roof over your head.
Thx, KS... I am not sure how that explains the dv01 of VIX futures, but I appreciate it. As to selling options, I try to avoid doing that, regardless under what guise the "opportunity" may present itself. Also, while Meriwether is indeed a blowup artist extraordinaire, I am all for trading (I don't use the word "arb" as a matter of principle) off-the-run vs on-the-run USTs. As far as I know, this isn't what he has blown up on. So I am not sure I'd go tarring everyone doing that with OPM with the same brush, tbh.