VIX Futures bid/ask spread

Discussion in 'Index Futures' started by MoneyMatthew, Nov 14, 2017.

  1. I don't have access to an intraday feed yet for VIX Futures but does anyone know how wide the bid/ask spread is on average during RTH?? I heard that it is 5 ticks wide on average, I hope I heard wrong.

    The intraday mean reversion/reversals from Upside to Downside are amazing in the VIX. I see it happening over 72% of the time daily in backtested data. Fading the upside looks like a great play in the VIX Futures but a wide bid/ask could easily kill potential profits. This product is more than just an inverse to ES, the time decay on s&p implied vol helps erode and drag this thing down. Again, further reasons to look for upside reversals every day.

    So what is the average bid/ask spread? Thanks.
     
  2. sle

    sle

    You heard right :)
     
    MoneyMatthew likes this.
  3. Thanks for the info sle.
     
  4. You could also try something like the VXX etf, 1 cent spread typically.
     
    truetype likes this.
  5. patrickrooney

    patrickrooney Sponsor

    The contract trades in nickels so yes, there's a .05 spread but if it's liquidity you're worried about, don't. There's plenty of action in #VX_F.
    vixfutsba.png
     
  6. comagnum

    comagnum

    The VX futures contract is very expensive to trade in relation to its average price range. I have my own formula of measuring the trading cost - I take the 5 day ATR and determine the % of the trade cost based on the avg bid-ask spread cost. The VX trade cost, holding for one day has been between 9 & 10% over the last month or so.

    To give you an idea the NQ trading cost is 0.45%, the ES is 2% using the same formula. The high trading costs equates to eating more on losing trades, and making less on the winners. Be aware that you cant use a stop, it has the be a stop-limit.
     
    Last edited: Nov 15, 2017
    Adam777 and shatteredx like this.
  7. So what is the tick size? .05? So it's a 1 tick spread?
     
  8. patrickrooney

    patrickrooney Sponsor

    Yes, it's a one tick spread and one tick = .05. Futures trade in nickels, 13.05, ,13.10, 13.15, while spot moves in pennies, 13.06, 13.06, 13.07, etc.

    http://cfe.cboe.com/
     
  9. The Vix Futures came up on my radar when I ran a study of which futures products hit their 5 Day ATR/2 and Close below the Open intraday. The Vix does this 72% of the time Upside to Downside over the last year.

    Tick size in relation to average daily range is a good metric like you said comagnum. Sometimes a higher win rate can overcome a poor tick-to-range ratio or bid/ask spread to range ratio.

    Thanks for the info.
     
  10. patrickrooney

    patrickrooney Sponsor

    It's tough. The spreads get interesting. As Nov came off today the Nov/Dec spread collapsed while stocks fell. tt-chart (18).png
     
    #10     Nov 15, 2017