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

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Author

  • Bujar Huskaj
  • Lars Nordén

Summary, in English

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.

Publishing year

2015

Language

English

Pages

506-521

Publication/Series

Journal of Futures Markets

Volume

35

Issue

6

Document type

Journal article

Publisher

John Wiley & Sons Inc.

Topic

  • Economics

Status

Published

ISBN/ISSN/Other

  • ISSN: 1096-9934