VIX fly / spread journal

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

  1. Didnt you just get burned in october on the same trade and you still insist on selling front with 6 days left? This late in the cycle with every passing day it become less about december and more about the rest of the curve. If mid term vols catch a bid here(very likely) you will get burned again. Good luck.
     
    #301     Dec 9, 2013
  2. he still felt he could have won if he kept the trade longer ....
     
    #302     Dec 9, 2013
  3. Why would they (keep vol bid)?
     
    #303     Dec 9, 2013
  4. Jgills

    Jgills

    i am not only in dec jan, i am long the feb mar spread (in a ratio to dec/jan) as well, so i am hoping that one widens out a bit.

    i know that i was burned in october, and while the general thesis is the same, the overall conditions are not (i.e. in oct vix was in the high teens and news was coming out every day and the swings were wilder)

    in this case, it is a binary event on next wednesday where there is a much higher probability that no information will be released prior to.

    this setup has worked in almost every other cycle this year except for October.

    who is left to sell december and why would you choose december over jan (to sell) when levels are low and knowing that it settles prior to an announcement where tapering will be discussed?

    njrookie, i know you didn't like that trade and don't like this one, but in reality the trade would have worked last time if i did hold it into Tuesday.. i had closed it monday. i know it is an extremely high variance situation (in regards to pnl) but i think that when the dust settles, sometime between now and next week this spread will be below 1 (maybe 70c?)

    if it doesnt work out this time, then it will be enough evidence to stop trying to trade it like this.
     
    #304     Dec 9, 2013
  5. Feb Mar isn't going to help. I am just curious as the minutes are pointless with a possible taper comment only after it goes OTB. You're basically flat-out looking for a 20-30 point drop in spooz.
     
    #305     Dec 9, 2013
  6. Why do you think its the selling that defines where the spread goes? Here is a question worth considering.

    Who will be buying dec over jan, feb and mar should vols tick up?
     
    #306     Dec 9, 2013
  7. Jgills

    Jgills

    i am not looking for 20-30 point drop in spooz (even though one would be great :D)

    perfect example is september.

    10d realized vol from sept 9 to sept 17 was ~7 each day.

    spot vix was on the decline and FOMC was scheduled for sept 18.

    below is the value of the sept/oct spread for that week:

    9/17 1.55
    9/16 1.69

    9/13 1.79
    9/12 1.97
    9/11 H 2.05
    9/10 1.84
    9/ 9 1.73

    below is spot vix:

    W 9/18 13.59
    T 9/17 14.53
    M 9/16 14.38

    F 9/13 14.16
    T 9/12 14.29
    W 9/11 13.82
    T 9/10 14.53
    M 9/ 9 15.63


    vix was on the decline and stayed relatively flat from 9/10 to 9/17 even though sp was realizing nothing and approaching new highs. there was no big day in SP, yet the spread came in.

    this is only one example ahead of an announcement, but do you just consider it noise?
     
    #307     Dec 9, 2013
  8. Jgills

    Jgills

    my thought is that as we approach maturity (and get very very close) dec HAS to converge to spot. if vols go bid spot is generally moving the most (up or down) and i would expect people to lift dec to make it stay in line with spot as maturity gets closer and closer.

    edit (i only answered one of your questions): i am biased to this year and i think that the general consensus right now is to be selling vol all the time in the current environment unless there is a good reason not to (tapering).

    how do you think about it?
     
    #308     Dec 9, 2013
  9. I consider it Sep and you're trading into XMAS. Good luck.
     
    #309     Dec 9, 2013
  10. Jgills

    Jgills

    FYI - the exact same thing happened last dec.
     
    #310     Dec 9, 2013