Abstract
The intraday spread behavior for futures illustrates a U-shaped pattern for U.S. markets, whereas for international markets it documents a declining pattern. Past U.S. research only examines estimated spread data from floor-trading. We use the electronic U.S. VIX futures to avoid this problem and to provide insight to the spread behavior for a unique market. We document two alternative spread shapes for VIX futures, a unique reverse J-shaped and a declining pattern. Moreover, we find a link between the spread shape and volatility at market close. Possible explanations include the distinct market structure and contract characteristics for the VIX futures.
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