Yep, I have read this paper

just getting back to an earlier postNo market maker is going to look to leg into an additional 3 legs of a 4 leg spread after being hit on 1 unless there is massive edge on the leg that they are hit and can then get the other 3 legs close to sheets (which just does not seem realisitic). Hedging the delta is the first priority if there is nothing to spread against. I am not really familiar with the VIX market (liquidity of futures etc) but unless there are synthetics readily traded with virtually no bid-ask or a liquid future it would be a tough market to trade (and my understanding is it is not that tough).I think the key difference with the vix is the stability and 'known range' (sounds a bit funny in the market environment we have just been through). Equity markets really have no bounds in this respect.my 2 bobs worth anyway

QuoteOriginally posted by: sepparYep, I have read this paperDid you write it? Author Artur Sepp (seppar, ar sepp). ?? Don't be so modest .

QuoteOriginally posted by: TraderJoeQuoteOriginally posted by: sepparYep, I have read this paperDid you write it? Author Artur Sepp (seppar, ar sepp). ?? Don't be so modest .hmmm think that's what we have going on here!

QuoteOriginally posted by: mmonejust getting back to an earlier postNo market maker is going to look to leg into an additional 3 legs of a 4 leg spread after being hit on 1 unless there is massive edge on the leg that they are hit and can then get the other 3 legs close to sheets (which just does not seem realisitic). Hedging the delta is the first priority if there is nothing to spread against. I am not really familiar with the VIX market (liquidity of futures etc) but unless there are synthetics readily traded with virtually no bid-ask or a liquid future it would be a tough market to trade (and my understanding is it is not that tough).I think the key difference with the vix is the stability and 'known range' (sounds a bit funny in the market environment we have just been through). Equity markets really have no bounds in this respect.my 2 bobs worth anyway Hi mmone,I think you are probably right. Maybe the MMs in the VIX options are not hedging VIX deltas at all? B.C. they're nothing but vegas? The (odd) landscape of the VIX market is simply that you have massive liquidity in the options and barely any VIX futures trading. Typically one follows the other.-s

never posted but I oversaw the real answer: the VIX futures contract is BIG...a 1000 delta. So just not a lot of contracts need to be traded for MMs to get their deltas off... Interesting that the VIX futures--especially the back months--are tightening up now that Barclays put out these ETNs for VIX: VXX (front month) and VXV (I think?)

Hi,the liquidity and the open interest is high for 3 next futures.Bye