VIX fly / spread journal

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

  1. Jgills


    closed another nov @ 18.05 at the close

    i have 1 nov left with an avg price of 17.55

    total pnl to date is +0.95 vol.
    #41     Nov 5, 2012
  2. Jgills


    i lifted 18.25 on the nov.

    current position is only in nov. avg level of 17.89

    *edit* - also, i know this is a "fly / spread" journal and this position is only an outright.. but the spreads will come in time as well. i promise. lol
    #42     Nov 9, 2012
  3. Jgills


    novy gettin crushed today. added at the close at a level of 17.15
    #43     Nov 12, 2012
  4. Jgills


    my avg cost from this is 17.69

    i sold one at 17.50 this morning.

    this gives me -0.19 pnl

    total pnl to date is +0.76 vol with cost basis of 17.69
    #44     Nov 13, 2012
  5. Jgills


    lifted a 17.00... trying to make it out of this with some pnl still.

    cost basis is now 17.43
    #45     Nov 13, 2012
  6. it seems like your are going counter trend, I am not sure how good that would be with the vix.
    #46     Nov 13, 2012
  7. newwurldmn


    VIX is volatile. two days doesn't make a trend in this (in either direction).
    #47     Nov 13, 2012
  8. Jgills


    you may be right, but vix is mean reverting (albeit over longer time frames), but there is some reversion to the intra-day/daily chop as well.

    *edit* and what was said above ;)
    #48     Nov 13, 2012
  9. I agree vix is mean reverting in long term, but you would not be able to hold Nov future for long term.. In the short term i think there might be some evidence that vix is trending. Any opinions here?

    #49     Nov 13, 2012
  10. Counter trend on what time frame?
    #50     Nov 13, 2012