You're taking my words out of context. Selling VIX call is a low risk strategy IF (BIG IF) VIX is at 80. However, doing so when VIX is at 15 is...
Shorting SPY calls is more risky than shorting VIX puts. SPY has no upper limit and may continue to march higher and higher for months. VIX, on...
My numbers are from yesterday. Today you have to alter the contract ratio from 2:1 to something like 170:75
Yesterday. But it's a paper trade since this the first time I am doing this.
That's true. Most modeling goes out of the window if we're dealing with VIX options. However, I think I can quantify an expiration scenario to...
My rational for this trade is very simple: 1) VXX is designed to lose value over time. Just look at the chart since inception. This means it is...
What do you mean? Given the trade parameters, if VIX futures close above 16 on Dec 22, then the trade will work since it had an initial credit....
If VIX was at 18, I would not put this trade on. Today's 16 was a compromise of uncertainty: if VIX goes higher through December, the trade...
What time frame in the last month (I assume October) would it not work? I would not trade it mechanically. The entry criteria is VIX at or below...
Yes, I can try "think back" feature of ToS platform.
As time progresses VXX term structure will move more to the next month futures. I think the position should be closed about a week before the...
Hi y'all! I've been thinking about the following trade on VIX/VXX put options: Sell N ATM VIX puts for the front month Buy M ATM VXX puts...
TOS has free end-of-day historical option quotes. It should be enough for this type of backtest.
What's your position size relative to the account size? You should've used historical option prices for this backtest
Here is a VXX trading idea: 1. Wait for a VXX spike (even a minor one) 2. Enter a monthly credit call (or debit put) spread that have...
Closed the IB at 3.09. In a retrospect this position was profitable (trading at 2.96-2.98) 2 days after the open and that was the best time close it.
Correct me if I am wrong, but these barrier options look similar to OTM butterflies or condors. In case of OTM condor, UL must trade between inner...
I was just following though on your prices example. It does present an arbitrage opportunity by the way it is calculated. That's why I asked my...
If you're a seller and you choose what option to sell: $3 on the UL or $.002 on the 2nd degree option, while your potential loss is about the...
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