VIX & US$ Index Futures

Discussion in 'Index Futures' started by CPTrader, Feb 29, 2012.

  1. Hello,

    The VIX & $ Index are two important markets but their volumes seem low.

    If you are trading these markets please share your experiences with respect to liquidity, spreads, etc.

    I see that the $ Index always has good side bid-offer volume, but actualy daily traded volume is low. I am still monitoirng the VIX.

    In sum, my question is: are these two markets liquid enough, viable for trading?

  2. Hey CP,

    VIX volumes are substantial for entries, but not enough to withstand a 500-lot hitting the bid. It can easily move 3 handles and those trades will not be busted. They bust at a figure like 30% away from the last trade. The majority (if not all) of busts are on drops.

    You can be in a consecutive switch (long APR/MAY for example) and see May drop 300bp and Apr go UNCH. You would need to withstand that 300bp move against your spread. It would be corrected in seconds/minutes, but a broker like IB may liq you on the $3k move.

    USDX is safer as it's easily replicated. Not that there is a ton of arb-volume, but it's not going to move even 2% on microstructure anomalies.
  3. Thanks so much atticus... that's the kind of insight I needed and which you always provide.

    All the best to you!