A three-step worksheet for VIX futures tick value and low-vol risk-reward

Keep the three checks on one page

The archive workflow started from implied-volatility: expected S&P 500 volatility as priced in the VIX complex. A depressed futures print was treated as a market-regime input, not as a cash-index quote.

Futures-contract-selection then replaced that informational index with one listed expiry, so session hours, the 0.01 tick increment, and the $10 multiplier sat beside the regime read. The risk-reward-ratio filter used those same dollars to compare a cited floor with rebound zones before size was taken.

Step one: choose the listed expiry

Futures-contract-selection means choosing a specific VIX futures expiry and applying that listing’s session hours, 0.01 increment, and $10 multiplier instead of the informational cash index.

Listed VIX futures use a 0.01 minimum increment valued at $10, so a one-point move from 13.00 to 14.00 equals $1,000 per contract. That 0.01 minimum price change is the tick increment.

The usual bid-ask width is about five ticks, or $50, and quoted prices often step in those five-tick increments even when daily volume reaches tens of thousands of contracts.

Weekday trading ran from 3:30 p.m. Central to 3:15 p.m. the next day, with a 15-minute pause aligned to e-mini S&P 500 futures hours.

Step two: convert point distances into dollars

Every volatility-point distance is converted with the selected contract’s increment, not with the cash index.

Dollar results are computed from the absolute gap between the higher and lower prices multiplied by $10, then labeled as a gain or a loss according to whether the position was long or short.

Step three: compare the dollar sides before size

The risk-reward-ratio is a pre-entry filter that turns the gap from the working price to a cited floor or rebound into dollars with the contract multiplier, then compares the two sides before size is taken.

TradersWeek editorial note: the archive records those dollar gaps. It does not record a numerical bound that had to be met before a long could be accepted. The filter taught here is the on-page comparison of the two sides.

A mid-June 2014 pass through the worksheet

In mid-June 2014 the July 15, 2014 VIX futures were near 12.50, near a contract low and close to the lowest futures prints since March 2004, which sat in the mid-11s.

With the $10 multiplier, a drop from 12.50 to about 11.50 implied roughly $1,000 of adverse variation, and a drop toward a cash-index floor near 9.50 implied roughly $3,000.

The same multiplier mapped a rebound from 12.50 to about 13.80 as roughly $1,300 and a move to about 15.50 as roughly $3,000. A faster recovery into the 18 to 20 area mapped to more than $7,000 per contract before costs.

The cash-index floor is the informational VIX low used only as a more distant historical reference, not as a tradable futures price.

Erosion if implied volatility does not rise

A long VIX futures stance is treated as subject to erosion if implied volatility does not rise, while upside moves are characterized as abrupt rather than gradual.