VIX ETF/Futures/Options Discussion Thread

Discussion in 'Options' started by mahras2, Jan 13, 2012.

  1. garachen

    garachen

    I actually don't remember if those exist and the CBOE connection is down now so I can't check. Pretty strange that I don't know that. If they don't exist I'll ask CFE tomorrow if they can create.

    I'm guessing they don't exist and can't be created but could be totally wrong.
     
    #51     Feb 6, 2012
  2. garachen

    garachen

    VXT spreads exist but are not quoted. Quoting those might not be a bad idea.

    The front month vix butterfly has been added.
     
    #52     Feb 7, 2012
  3. sle

    sle

    I happend to know for a fact they are holding partial exposure, from 30 percent and up
     
    #53     Feb 7, 2012
  4. 30% only?

    That is scary to some extent. If VIX quadruples, then VXX might double or triple.

    I know ETN carries credit risk. Naked exposure to vega can always be risky for individual trader. Hopefully the sponsor has much deeper pocket. Settling on daily close without actually owning the futures does reduce trading cost.


    njrookie
     
    #54     Feb 7, 2012
  5. garachen

    garachen

    There are probably only 5-10 people on the planet that know for a fact what they are doing. I'm not one of them so you could be right.

    But I know for a fact that they are *not* rolling vix futures which makes is very unlikely in my mind that they own them either.


    Market cap is 579M. This would mean about 30.5K vix contracts.

    1000 contracts would have to be rolled every day and 3000 on either Friday or Monday. That's not happening. 1/3 of that is not happening. They USED to do it and even when they were small rolling about 500 contracts a day it was obvious when they were doing it because it would significantly distort the market. I was very very sad when this stopped happening.

    So if they are not rolling them I'd find it hard to imagine them owning them and what - taking them to settlement and re-buying. Makes no sense.

    What I can imagine (pure speculation) is that they could have offloaded the job of hedging to someone else [lucky person]. This is pretty common practice.

    But whatever. Doesn't really matter. No way to make money from it anymore. If you want to see when it did happen look at the end of the day in Jan 2 years ago. I think that's when it was most pronounced.
     
    #55     Feb 7, 2012
  6. Thanks sle and garachen for clarifying the rollover issue of the ETPs.

    The best deal is to:

    1 manage both a regular and an inverse with similar leverage adjusted exposure
    2 hold zero position in neither
    3 just collect fees
    4 no risk exposure at all

    i am wondering whether fas / faz positions off-setting each other since they are part of same sponsor/fund family.

    njrookie
     
    #56     Feb 7, 2012
  7. Bet on it.
     
    #57     Feb 7, 2012
  8. Ah the good old days of buying front into the close and reversing the last few seconds. I can think of atleast a few ways i exploited the order flow that came in like clockwork 2-3 years ago. All of that is mostly gone with the exception of a few EOD instances.
     
    #58     Feb 7, 2012
  9. Rally:

    How do you show the market depth in IB for VBI spreads?
    I only get a blank screen when I try.


     
    #59     Feb 8, 2012
  10. Quote the spread in TWS and use market-depth trader? Can't see it now, but maybe try that after the open.
     
    #60     Feb 8, 2012