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Strategies & Market Trends : Mish's Global Economic Trend Analysis -- Ignore unavailable to you. Want to Upgrade?

To: ild who wrote (34313)	7/27/2005 2:00:09 PM
From: mishedlo	Respond to of 116555

From ILD: LAST TRADING DAY: The Tuesday prior to the third Friday of the expiring month cboe.com I played with VIX futures. I bought May futures in January - February. Spent most of the time under water and managed to sell for a small profit in April. Not playing any more as VIX is going to ZERO. -g/ng- from Heinz: well, i expect market volatility to increase sharply this fall...the VIX index can easily double within a few days time, so i think it's well worth considering. take e.g. the April rally in the VIX, it went from 11 to 18.5 in three trading days. otoh, the downside risk seems very limited at the current level. second post from succo: Rollover costs can be significant if actually traded. They are traded in variance swaps and that is why there is a wide market. But in VXO they are just marks and not traded, so there is no cost. The play would only interest me if I were trading variance swaps, which I don’t. only brokers can make money on spreads. I would not play volatility using vix or vxo…the futures are inefficient. Mish (from ILD's link): LAST TRADING DAY: The Tuesday prior to the third Friday of the expiring month FINAL SETTLEMENT DATE: The Wednesday prior to the third Friday of the expiring month FINAL SETTLEMENT PRICE: Cash settled. The final settlement price for VIX Futures shall be 10 times a Special Opening Quotation (SOQ) of VIX calculated from the options used to calculate the index on the settlement date. The opening price for any series in which there is no trade shall be the average of that option's bid price and ask price as determined at the opening of trading. The final settlement price will be rounded to the nearest 0.01. Click here for more information about VIX futures settlement.