Not sure what you're seeing. Middle of the curve was sticky for a while, and is now making up for that. Dec went up .05 during the day today, while the VIX itself was up more than half a point, so while Dec did go up while everyone else went down it wasn't by much. I'm thinking the middle is pretty much done with the bulk of its move down now, so if VIX moves up again tomorrow there should be some up action in the middle.
if you need me to post some pics i can, but what i'm talking about is the front spread (dec/jan) vs the other month-to-month spreads over the past week. last week the spread was as high as 1.8. vix has come down since then, the rest of the curve has steepend (jan/feb, feb/mar, mar/apr, etc..) but the dec/jan has come in ~50bp. if you look at a graph of the dec/jan/feb fly, the fly was trading around 70-80 and is now as low as 10-20. That is the move i am talking about
That's interesting, but I'll pass on the pics. I usually go long the first two months as a hedge, and then short from the third month on, emphasis on the third month, which none of the VIX ETNs bother with, so I notice when those months sit around while the front either doesn't move or actually goes down too, which is why I said the middle's been sticky. Last three to four days that finally changed, to my advantage. I guess, from what you're saying, to your disadvantage? I'm sure that'll change, and I'll notice it.
Wonderful move and as opposed to last year I was on the right side,lol.. J, see ur email etc for my 2 cents.
it was not to my disadvantage - i actually caught a little bit of the move, but i was more observing and curious as to why it happend so i can try to take advantage if similar conditions arise. i wouldnt have imagined such a large move with relatively nothing going on otherwise (unless it matters that spx is at new highs and vols are at all time lows and people just want to hedge, which is surely reasonable)
Don't know what sellindexvol66 will say - and you should likely listen to him 'cuz he knows way more than me - but to me it just looked like the middle playing catchup with the front. If you look at VXV/VIX, which is a shorthand for my strategy, that peaked on the 15th with VXV at a 21% premium over VIX, which is kind of nutty. Now down to around 13%, which is still a little high, but not like before.
Long as I'm here, these colors are weird. Haven't been here for a long while. I guess Baron finally changed the place around a bit.
hi i am new here and ssee this thread is a vol thread. i trade vol in asia. currently i am in a calendar spread short january long february @ .25 cents spot is 22.96 i am also in long dec short jan @ 3.10 timed exit is dec expiration on both trades. i can answer questions also; i know this stuff is far from intuitive; although i will not spill excessive edge i can offer the "why"
Hmmm. I see the total OI on Dec/Jan/Feb as 237, 831 and 43 respectively. The highest OI in Jan, at 10,000 JPY per point comes out to be whopping 80k of exposure across all players. Out of curiosity, what size do you have on?
hey yes, very illiquid (and late) i am primarily an idex trader but since i study vol in relation to the index i have been noticing patterns. size is small @ 10/20/10..i expect to add when i wake in am.