VIX fly / spread journal

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

  1. Jgills

    Jgills

    been pretty dead on this thread for a while.. but im still trading and as such here is my q1 performance.. pretty dismal. the IB analysis shows max drawdown os 9.28%, but that was from crazy EOD marks.. in reality i'd say the real drawdown was 6-6.5%.

    this performance is Q1 2014 only
     
    #391     Apr 2, 2014
  2. Jgills

    Jgills

    the past week hasn't been so bad to me.

    i put on a fly trade here at a price of -31, i bought the fly (depending on how you quote it)
    -may
    +jun
    -jul

    how are you guys playing the extreme flatness in the may/jun spread? how are you playing anything here if you're interested in talking about it
     
    #392     Apr 14, 2014
  3. Jgills

    Jgills

    never posted again but i took this off at around 0 a few days ago. does anyone know whats going on right now in the may june spread? flattened a lot the past two days and todays close was much bigger of a move than we've been seeing for not much going on.
     
    #393     Apr 23, 2014
  4. Anybody still trading this stuff?
     
    #394     Jun 2, 2014
  5. Front month contango is quite steep in comparison to the mid/long end. Historically, at least the last couple years, it has lead to a flattening move in the front. Anyone playing this? I have been researching Vix spreads as a way to diversify my strats.
     
    #395     Jun 2, 2014
  6. It will take some serious vol to drive June Vix higher
     
    #396     Jun 3, 2014
  7. Total noob at this so this might be a dumb question, but is that because the index is still several points below where the jun future is trading?
     
    #397     Jun 3, 2014
  8. its not a dumb question by any means. vix is very hard to master as its far from intuitive.

    the premium is currently 1.41 to spot ...and one (me) can argue barring a crash after ECB and NFP spot vol will come in strongly..this makes longing june difficult. even on a vol rise due to the premium spot vol can go up faster, more so than the futures move.
     
    #398     Jun 3, 2014
  9. O.k. ,cool, Thanks for answering my question.
     
    #399     Jun 3, 2014
  10. I'm new to VIX spread trading. What software do you Jgills and others use to chart the VIX calendar spreads? I can't seem to figure it out through IB.
     
    Last edited: Aug 11, 2014
    #400     Aug 11, 2014