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VIX futures Vs VIX Spot


Guest investCo007

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The Vix can either trade at the 'spot' price, or the 'futures' price. The Spot is purely an indication of the market volatility on the S&P 500, however you can't physically buy or sell it (in much the same way as you can't buy or sell a 'FTSE' or a 'DAX' - these are just indications). 

 

You can however buy a future VIX contract, which is what the Vix on the IG platform is based off. VIX futures reflect the market's estimate of the value of the VIX Index on various expiration dates in the future. Monthly and weekly expirations are available in the underlying market and the contract we currently have on IG is the June 18. They trade nearly 24 hours a day, five days a week.

 

You can learn more at the CBOE website under the VIX futures tab. http://www.cboe.com/vix

 

2018-05-30 08_39_41-Vix-Index.png 

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Guest investCo007

sorry still confused...... vix term struct is in backwardation  so settlement price on jun contract should be higher than the the theoretical spot price no?

 

is there any way you could show me a graph of the first say 4 months as they move throuh this volatile time frame?

 

sorry to be a pain but it would really jelp hey my head straight?

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Guest PandaFace

Bloomberg says this. June and July relate to the IG's June and July. Can't trade spot on IG (or anywhere AFAIK) but can't see a bid / offer on that screenshot but unsure why? Anyway - there you go.

 

sg2018060134499.gifsg2018060134478.gif

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Guest PandaFace

also don't forget that VIX spot moves with the market fluctuations in real time, whilst the futures are going to have a different correlation coefficient over periods of high vol. Think of it this way - market has a MAD day so VIX moves like crazy because its an index value of RIGHT NOW. Futures smooth that out a little so there will be periods where it doesn't follow the basic logic of the curve.

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Guest investCo007

jun contract is about as close to s[pt as you can get given its may so smoothing effect should be minimal. From the BB screenshot what is the exact contract wekk, 1 2, etc? Can you sent be full price series from bloomberg and IG of THAT specific contract vs spot price series for those days where it spiked.

 

many thanks

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Hi, I'm sorry but I'm not sure where you are getting a value of 20 from? According to that link there is a HLO of 13.65, 13.5 and 13.6 respectively. The IG live platform reflects this as below (with the IG spread). I have also had a look on Bloomberg and these figures reflect accurately. Maybe I have misunderstood but I don't see where the '20' value is coming from... from that link the last 20 value was back in April.

 

2018-06-06 08_48_09-IG Trading Platform _ Spread Betting.png

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Guest investCo007

ok still something not quite right, this is what i see

 

 

VIX trading > 20 aroundVIX2.jpg this time period, pleasse see graph

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Guest investCo007

yes value is in april because i wanted to sell @ 20 but the bit was stilll loooking too low at 13

 

i might be missing something simple here so please bear with me and thanks for your help so far

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