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Two Order Books are Better than One? Trading at Settlement (TAS) in VIX Futures

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  • Bujar Huskaj
  • Lars L. Nordén

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. © 2014 The Authors. Journal of Futures Markets published by Wiley Periodicals, Inc. Jrl Fut Mark 35:506–521, 2015

Suggested Citation

  • Bujar Huskaj & Lars L. Nordén, 2015. "Two Order Books are Better than One? Trading at Settlement (TAS) in VIX Futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 35(6), pages 506-521, June.
    • Handle: RePEc:wly:jfutmk:v:35:y:2015:i:6:p:506-521
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    Cited by:

    1. Ai Jun Hou & Lars L. Nordén, 2018. "VIX futures calendar spreads," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(7), pages 822-838, July.
    2. Michael J. O'Neill & Robert E. Whaley, 2023. "Effects of nondiscretionary trading on futures prices," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(1), pages 33-68, January.
    3. Brøgger, Søren Bundgaard, 2021. "The market impact of predictable flows: Evidence from leveraged VIX products," Journal of Banking & Finance, Elsevier, vol. 133(C).

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