Advanced

Two order books are better than one? Trading at settlement (TAS) in VIX futures

Huskaj, Bujar LU and Nordén, Lars (2015) In Journal of Futures Markets 35(6). p.506-521
Abstract
We examine the effects from the Trading At Settlement (TAS) introduction on VIX futures market quality. We find that the VIX futures market exhibits higher trading activity and better liquidity after the TAS introduction. VIX futures traders use the TAS limit order book to execute large transactions, and TAS helps limit order traders from being picked off by informed traders when the VIX futures price volatility is high. The TAS introduction has created a highly liquid, low-cost, trading venue. Although the TAS introduction fragments VIX futures trading into two order books, liquidity in the regular order book is not hurt.
Please use this url to cite or link to this publication:
author
organization
publishing date
type
Contribution to journal
publication status
published
subject
in
Journal of Futures Markets
volume
35
issue
6
pages
506 - 521
publisher
John Wiley & Sons
external identifiers
  • wos:000353519200002
  • scopus:84928304433
ISSN
1096-9934
DOI
10.1002/fut.21702
language
English
LU publication?
yes
id
fa566927-85be-48e1-9889-d079ee50665a (old id 5038618)
date added to LUP
2015-02-03 09:59:10
date last changed
2017-01-01 03:40:39
@article{fa566927-85be-48e1-9889-d079ee50665a,
  abstract     = {We examine the effects from the Trading At Settlement (TAS) introduction on VIX futures market quality. We find that the VIX futures market exhibits higher trading activity and better liquidity after the TAS introduction. VIX futures traders use the TAS limit order book to execute large transactions, and TAS helps limit order traders from being picked off by informed traders when the VIX futures price volatility is high. The TAS introduction has created a highly liquid, low-cost, trading venue. Although the TAS introduction fragments VIX futures trading into two order books, liquidity in the regular order book is not hurt.},
  author       = {Huskaj, Bujar and Nordén, Lars},
  issn         = {1096-9934},
  language     = {eng},
  number       = {6},
  pages        = {506--521},
  publisher    = {John Wiley & Sons},
  series       = {Journal of Futures Markets},
  title        = {Two order books are better than one? Trading at settlement (TAS) in VIX futures},
  url          = {http://dx.doi.org/10.1002/fut.21702},
  volume       = {35},
  year         = {2015},
}