Controlling Vega daily with minimal cost

What would be your recommendation? A synthetic VIX Future? I'm getting in and out on the same day, that's why I was kind of greedy as I know realize, wanted the IV Decay and Theta.

 

I think the best Option for me is to go Long via CFDs, will cost me 20 Euros in Comission per Day and I can Match my Daytrades without buying X Ammount of Options because I can buy fractional VIX Futures.

 

Every time you hedge though you're giving up some edge. I think that is expected behavior for any hedge, not just this one.

 

I have wide spreads, so I work with stop losses. Everytime the IV blows up, the Intervalls I choose are getting tigher because the Stop Loss gets triggered. I focus on Theta Decay. I'm ok with giving up some of the profits to become more predictable. Also it allows me to grab more Theta Decay on Days where news come out that will make the VIX go up.

 

@Atikon, so if I understand it correctly, you sell an IF or IC in the SPX in the morning and you close your position before the end of the day and you want to vega hedge your trade in case VIX rises during the day?

Surely, delta is more of a threat to your position than vega? If the SPX moves sharply up say, then any IF or IC you may have will be at risk, and meanwhile the VIX has probably fallen due to the rise.

Would love to see an example of the type of trade you actually do - it doesn't have to be a real trade, just a sample strikes/dates etc.

 

ffs, tell him to straddle a calendar, bc well, edge!

 

Direction is always a risk with IC, but my stop losses let me stay within a range, where I am profitable. When the IV blows up, stop losses will be triggered and my Confidence Interval/Probability/Profitability blows up with it. Example yesterday Unemployment Numbers came out, Option Prices doubled even thoug the SPX didn't budge. I want to be able to earn Theta Decay without having to worry about what time to Enter the Market

 

Ah huh, dats right.

 

Sorry about the intrusion, but I think I found a visual analogy between stocks and futures, as compared to options...

Stocks/futures...




Options...

 

I dont understand why you are "daytrading" the Vix as a hedge while exposing yourself to overnight risk and gaps..Find it hard to believe you arent giving up any "edge" on slippage/bid offer spread..Are you really that concerned with intraday vol pops on a limited risk strategy??

Ild be far more concerned with gap openings and letting your delta/gamma getting away from you....

Am I missing something?






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