It's not the price in itself that's unreliable. At your size you could have easily executed at EOD prices. What I meant is the patterns evolve, and it seems much more frequently nowadays. You will be hard pressed to find anything today that worked back then with any consistency. I wouldn't go back more than 2 years and even that is pushing it IMO.
thanks for the input. for color, i'm not trying to test for things that worked back then, i am trying to stress test some of my ideas to see how things could have looked for me if i didnt touch anything and how much pain i would have potentially felt (not that i plan to run it so passively)
In that case your biggest concern is liquidity. As vol heads for the moon the liquidity drops off a cliff. Right now the futures are so deep(front-mid curve) that i can hit the market with 2000 spreads give up a tick and get filled inside 30 mins and i don't even have to execute against the trend. As the liquidity drops the term structure can come unglued really fast as there will be too much size in the spreads going for the exit at once.
200? I remember in '08 after the LEH fiasco someone came in and bought around 1000 spreads 90 days out by reloading 100 lots. The first 200-300 got soaked up really quick then the rest took the entire day to fill and that was going counter trend. Before the dust settled the curve had kinked almost a handle. Good old days where you can make your entire month just by picking off the flow that came into the spreads.
http://online.wsj.com/news/articles...0001424052702304149404579322961088235596.html new short-term vix futures. thoughts? http://www.cboe.com/micro/VXST/default.aspx ^ is the link to the index itself, incase you were unaware
how's everyone doing these days? i went into the middle of last week leaning a bit long vol, but at this point ive been adding long spreads in the mar/apr and feeling the heat a bit. most people i speak to seem to have the similar view that this will continue for a little while, opposed to the prior vol spikes we had. this selloff seems to be stemmed off the EM problems with no immediate solution on the horizon whereas prior spikes were all on US binary events. what are your takes on it?
have any of you heard back on the margin requirement inquiry we've talked about here? these levels are getting pretty absurd for the amount of pnl volatility i'm having.. also, has everyone moved away from IB? right now their feb/mar initial is 6275 and maintenance 5020, mar/apr is 4875/3900, apr/may 3600/2880. it is like they really want to keep you out of the front