VIX fly / spread journal

Discussion in 'Journals' started by Jgills, Oct 22, 2012.

  1. my question to you is.. what math brought you to your hedge size in the vxx?
     
    #131     Jan 10, 2013
  2. It was not market moving size.. In any case I'm almost done rolling :)
     
    #132     Jan 10, 2013
  3. Don’t have exact formula, and I don’t expect it to be a 100% hedge.

     
    #133     Jan 10, 2013
  4. eyeballing it.. saying.. if this.. then that in your head.. cool just wondering .. probably be just as messy if you put math to it..
     
    #134     Jan 10, 2013


  5. Spent more time than anyone should on figuring out what to do about Mar. I tried playing Jan and while I didn't really get hurt by the cliff I didn't make anything either (still small money; I'm not stupid enough to really do something serious at the stage I'm at now with this thing). I'm thinking I'll wait until Tuesday to do anything, as I've begun to notice a pattern where VIX rises after expiration when it declines sharply into it, like now. As of now though it looks like tomorrow will be yet another down day for the VIX, so maybe I'll set up a Feb long tomorrow and do the short Mar on Tuesday or later.
    I agree of course that the trade looks like a good one. Fighting the last war is always a worry though; maybe the fight over the debt ceiling goes into Mar and VIX stays up? Although I suppose a long on Apr would solve that.
    Ah well, no rush. Still time to think about this one.
     
    #135     Jan 10, 2013
  6. I have no opinion on the fly but i am short march vol in several variations at the moment.
     
    #136     Jan 10, 2013
  7. Everyone is short march, so maybe its time to go long march...
     
    #137     Jan 10, 2013
  8. Jgills

    Jgills

    so go long march and come back laughing at us later...
     
    #138     Jan 10, 2013
  9. Man such vol opinions...u guys all can't be the only ones shorting march vol in whatever combos..i 'm on the other side longing it..so we will see.
     
    #139     Jan 10, 2013
  10. Who is everyone? A few traders on ET? The reason why the fly is so wide is because there is some serious size behind the march bid. I don't commit large bets on binary events like these but a repeat of August 2011 would be too obvious of a scenario.
     
    #140     Jan 10, 2013