On February 5, 2018, S&P 500 stock index plunged by roughly 4 percent, and the VIX index moved up most in a single day in the 25 years index history. The XIV, the exchange-traded note that tracks the inverse daily return of the VIX index had to be terminated before its actual redemption date due to a greater than 80 percent drop in a single day. Several factors could have contributed to the development. One of them was the architecture of VIX Exchange-traded products (ETPs), where constant-maturity rolling and leveraged exposure needed to be achieved daily. It means that a large volume of shares had to be be acquired and/or liquidated before the market close. This study observes the effect of the VIX ETPs ‘ architecture on VIX futures by examining the immediate price impact of VIX futures at different times of the trading day. We find that the price impact of VIX futures is the lowest in the last fifteen minutes of regular trading hours, and this time concurs with the period where VIX ETPs are rebalancing their positions. We deduce the structure of VIX ETPs affects the price impact of VIX futures, especially at times before market close. We also apply a dimensional analysis argument similar to the method proposed by Kyle and Obizhaeva to obtain a general formula for immediate price impact. Comparing the results, we observe that our fitted price impact model agrees with the general price impact formula derived from the dimensional analysis method.