Trading the VIX future

Discussion in 'Trading' started by Fierze, Apr 28, 2011.

  1. Fierze

    Fierze

    I will be interested in trading the VIX front month future upon seeing what I perceive as extreme levels in the VIX, indicating imminent mean reversion.

    However, I know there are some specific factors to recognize before doing this, for example contango/backwardation and the fact that the VIX future does not track the underlying index exactly.

    What I *don't* fully know is *how big* impact these factors will have on my trading results? On average, how expensive do you think it will be for me to roll over VIX futures contracts between months? Does the roll-over-cost eat away all chances of having a profitable trading strategy? How much harder is it to make money trading VIX futures compared to the regular VIX index itself, if it was tradable?
     
  2. how much do VIX futures pay per tick?

    edit - $50 per tick? Holy shit.
     
  3. Fierze

    Fierze

    $50 per tick. I would never trade more than one contract at a time.
     
  4. Would you mind posting a chart of Vix futures? I can't find it on ino.com.
     
  5. Wait is it this?

    I'm getting confused tho cuz that says $14.62 and the CBOE site says the minimum increment is 0.05 points, which does not do into $14.62.
     
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  6. this is index. historical futures are here http://cfe.cboe.com/Products/historicalVIX.aspx
     
  7. How does it have prices that aren't multiples of 0.05 if its minimum tick size is 0.05?

    That would be like the ES showing a price of 1340.58 or something [​IMG]

    So it's roughly priced at 15. At $50 per 0.05 movement, that makes it 300 ticks from 0 and worth about $15,000, correct?
     
  8. more or less.

    May contract: VX K1-CF 16.75 -0.25

    it is still ~15% above the VIX index. VIX could revert to 16 and one may still lose money going long May Fut.
     
  9. Can Vix futures go to 0?
     
    #10     Apr 28, 2011