Two Order Books are Better than One? Trading At Settlement (TAS) in VIX Futures
2015 (English)In: Journal of futures markets, ISSN 0270-7314, E-ISSN 1096-9934, Vol. 35, no 6, 506-521 p.Article in journal (Refereed) Published
We examine the effects from the Trading At Settlement (TAS) introduction on VIX futuresmarket quality. We find that the VIX futures market exhibits higher trading activity and betterliquidity after the TAS introduction. VIX futures traders use the TAS limit order book to executelarge transactions, and TAS helps limit order traders from being picked off by informed traderswhen 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 twoorder books, liquidity in the regular order book is not hurt.
Place, publisher, year, edition, pages
2015. Vol. 35, no 6, 506-521 p.
IdentifiersURN: urn:nbn:se:su:diva-116733DOI: 10.1002/fut.21702ISI: 000353519200002OAI: oai:DiVA.org:su-116733DiVA: diva2:807897