VIX to ES? Anyone spread this?

Discussion in 'Index Futures' started by twoshepards, May 25, 2010.

  1. I've been playing around with a spread between CBOE VIX futures vs. CME emini futures. Anyone else in that arena? Any thoughts on this?
     
  2. The ES is the "locomotive" and the VIX is the "caboose".....most of the time. Consider using the ES to take a contrary outright position in the VIX. :eek: :D
     
  3. That's they way I see it as well. I'm using a 5 ES / 12 VM ratio....today the first attempt and I'm wondering about my ratio...on a tic per tic basis i'm $60 per side now, but es tick soo much more, it's opening up a lot of opportunity.
     
  4. you want to explain why you think that trade would be anything other than a random long or short?
     
  5. A market neutral trade is a play on variance. There isn't any edge in the trade currently as VIX front month futures are at a discount of 200bp or so, noise.

    1059.50 last, ugly.