Transform the VIX into cash machine

Discussion in 'Index Futures' started by artes, May 3, 2007.

Did You trade VX

  1. No

    20 vote(s)
    42.6%
  2. I will NEVER trade it!

    6 vote(s)
    12.8%
  3. Sometimes

    8 vote(s)
    17.0%
  4. I will trade it in few weeks

    1 vote(s)
    2.1%
  5. I will trade it in few months

    4 vote(s)
    8.5%
  6. Yes

    6 vote(s)
    12.8%
  7. I trade that VX futures and nothing else

    2 vote(s)
    4.3%
  1. gkishot

    gkishot

    Try VIX and VIB.
     
    #11     May 3, 2007
  2. artes

    artes

    On Yahoo : http://finance.yahoo.com/q/bc?s=^VIX&t=2y&l=off&z=l&q=c&c=

    On Interactive Brokers:
    VIX CBOE VOLATILITY INDEX (VXG8) (Exp: 20080220) [Details]
    Futures n/a USD CFE
    VIX CBOE VOLATILITY INDEX (VXK7) (Exp: 20070516) [Details]
    Futures n/a USD CFE
    VIX CBOE VOLATILITY INDEX (VXK8) (Exp: 20080521) [Details]
    Futures n/a USD CFE
    VIX CBOE VOLATILITY INDEX (VXM7) (Exp: 20070620) [Details]
    Futures n/a USD CFE
    VIX CBOE VOLATILITY INDEX (VXN7) (Exp: 20070718) [Details]
    Futures n/a USD CFE
    VIX CBOE VOLATILITY INDEX (VXQ7) (Exp: 20070822) [Details]
    Futures n/a USD CFE
    VIX CBOE VOLATILITY INDEX (VXU7) (Exp: 20070919) [Details]
    Futures n/a USD CFE
    VIX CBOE VOLATILITY INDEX (VXV7) (Exp: 20071017) [Details]
    Futures n/a USD CFE
    VIX CBOE VOLATILITY INDEX (VXX7) (Exp: 20071121) [Details]
    Futures n/a USD CFE

    CBOE VOLATILITY INDEX (VXM7) http://www.interactivebrokers.co.uk/en/main.php [contract search]
     
    #12     May 3, 2007
  3. artes

    artes

    On IB
    this link

    http://www.interactivebrokers.com/e...?exch=cfe&showcategories=FUTGRP&ib_entity=llc

    #
    IB Symbol Product Description (click link for more details) Symbol Currency

    BXM : CBOE BUYWRITE MONTHLY IX BX USD

    CYX : CBOE CHINA INDEX CX USD

    VXD : CBOE DJIA VOLATILITY INDEX DV USD

    VT : CBOE S&P 500 THREE MONTH VARIANCE VT USD

    VIX : CBOE VOLATILITY INDEX VX USD
    #
     
    #13     May 3, 2007
  4. sellvol

    sellvol

    #14     May 3, 2007
  5. KS96

    KS96

    :D :D :D
    think again... if only it was that easy..
     
    #15     May 3, 2007
  6. artes

    artes

    Is about trading VX future contract...
    If you speak about options, please, only of futures options! and so yes of which date and strike?
    Thxs
     
    #16     May 4, 2007
  7. artes

    artes

    Today it was possible to entry @ 129.75
    exit @ 132.25
    VIX (Volatility index)(may07)
    see the chart below
     
    #17     May 4, 2007
  8. artes

    artes

    there is a 10 days chart
    VX index Future (MAY-07)
    1 tick = $:10-

    VIB = VIX x 10
    VX = VIB x 100

    Scale out order for 10 days
    entry @ 130.35
    sc 1 @ 131.35 = 10 ticks -> 100$
    sc 2 @ 133.35 = 30 ticks -> 300$
    sc 3 @ 136.35 = 60 ticks -> 600$

    ^VIX on Y! -> http://finance.yahoo.com/q/bc?s=^VIX&t=6m&l=off&z=l&q=c&c=

    IG charts on attach (gains on 10 days : +$:2,900-~/ about 12% of the account/ )
     
    #18     May 7, 2007
  9. ntt

    ntt

    For sure. Moreover the vix futures don't move in lockstep with the underlying vix index. Unlike stock index futures, there is no clear arbitrage mechanism between vix futures and the underlying index. Reason: vix cannot be replicated with a basket of options.

    The pricing and premium of vix futures is a whole new game. No ideas how to make money from it, but it's certainly interesting.
     
    #19     May 7, 2007
  10. artes

    artes

    at 130 from 126 (VIB)

    see chart below
     
    #20     May 14, 2007