Registered: Jul 2005
Posts: 565

Lets get a thread going discussing VIX/VIX-related product space. Vol of vol seems to be the best instrument to trade in this climate because there are some interesting dynamics playing out. The first is that correlations rising is great for volatility sensitivity meaning greater ups and downs and a faster time to mean reversion. Secondly, the curve shape is also a great thing to trade with the massive shifts between backwardation to contango we saw from the recent VIX spike.

I have been expressing my views on the VIX particularly with the XIV/VXX etfs. I have focused my thoughts on the front-end of the VIX curve and using the curve shape to dictate which product to long/short to put the roll behind my back.

At the moment I am long XIV from the 5.8-5.9 level having added chunks to my position as well as taking some money off the table at 7.5 level we hit 2 days ago.

What are you guys thinking in terms of the VIX products? Anyone have any interesting plays on?

Registered: Mar 2007
Posts: 12600

Good thread, B.

Yeah, I would ring the register on that one. Maybe 8.25 if Feb comes in to 200/cash, but I don't see Feb trading 200 over cash for at least 10 days.

The tails of the curve are at 482bp (Sep-Feb), and/so there isn't enough juice for me to trade the switch.

I'm long Feb to 2500 in the 20/30 fly from 1.20 risk.

Registered: Jul 2005
Posts: 565

Ya I definitely think its time to get out for the short term. Made an absolute rookie mistake today, put my limit sell for the position at 7.69 and then ended up following that down all the way through 7.5. Closed half the position and kept the other half.

Any views on the jump in VIX? Seems abnormal compared to slight positive on SPX index and slight positive even on HY credit index (vix has been tracking that pretty well).

BTW, when you say 200 over cash, I am seeing that feb VIX is at 23.95 vs. spot at 22.20. Do you mean the Mar VIX which are at 25.55 now?

Registered: Jul 2005
Posts: 565

Another indicator I have been keeping an eye out on is the VIN/VIF ratio vs the VIX. Near term IV spiked today vs OTM IV today which definitely shows the reason for the move in VIX. Still don't see the reason for the near term options to see such a vol spike. Here is the chart I have been tracking:

vix_vinvif.gif
This has been downloaded 310 time(s).

Registered: Apr 2011
Posts: 2612

what is the VIN and the VIF?

Registered: Apr 2003
Posts: 1609

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Quote from newwurldmn:

what is the VIN and the VIF?

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