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VIX fly / spread journal

  1. hi all - i've been around this and other forums for a little while and i decided it was time to start journaling on here.

    i've spoken to a few of you privately, some publicly, and thanks to all that have given me guidance.

    my trades are typically held over a week to month time frame, but occasionally could only be a few days and even shorter horizons.

    i welcome your comments/thoughts.

    i currently have a position on that i've been in for a few days now, it is slightly against me at the moment. i'll try posting in real time when i execute, but i work and can't always be here to do it at the exact moment. I'll post my trade pnl when i close trades.

    if you have questions feel free to ask.

    current position:

    long nov vix @ 17.10
    long belly of jfm fly @ .02
  2. JFM (short wings) is popular at the moment. ;)
  3. i got one more nov at 5bps over unch on the day. 17.65. looked great at the time.

    the notional on my fly is much larger than that of the total nov.
  4. Good luck, the flies here need patience. If term structure holds the steep slope (and even if it flattens you still can earn in time) , hang in there.
  5. this is one of those occasions where i don't hold it so long. i sold this @ 18.80.

    net pnl = 1.15 vol
  6. good trade.
  7. looking to add a nov somewhere below 18 - i think i can get some today
  8. seems i was a bit too conservative - oh well.
  9. Is the long front vol position a hedge for the fly or a separate trade?
  10. well, personally, i wouldnt run this fly here without the long front vol position so in that sense you can call it a hedge (and from my empiric view it does work as one), but i would run the long front vol position without the fly.

    i also didnt necessarily enter one BECAUSE of the other either. i had been long front vol then saw a chance to enter favorably into the fly, so i did.

    hope that will suffice
  11. What is that? I am only familiar with BWB as a variant to the std fly..
  12. didn't get a fill @ 18 yet...
  13. frustrating to get no fill there
  14. you missed it by a tick. mkt has moved away.

    for naked long vol, why not using vix ETPs?
  15. yeah - thats what i get for being a cheapo not paying up 5bps.

    i don't trade the ETPs for 2 reasons.

    1) i dont have the same flexability with my employer

    2) i don't see how they are the same, the etp's are there to mimic indicies or performance of something, i'd rather just express my view in a more pure manner
  16. i'm still alive - here in nyc and at work now.. nothing has changed in my position. if anyone is watching.. how are you all doing? did you fare well?
  17. somewhat active day today.

    i closed the long leg of the fly (jan/feb) at 0.65 i'm looking to exit the other leg as well some time today. the trade is currently 0.10 vol against me.

    i lifted 18.00 in nov
  18. closed the other leg of the fly - total loss is .15 vol on the fly.

    sellinindex - maybe you're right and i had agreed, but i just am not feelin this trade here.
  19. i am going to track my pnl on here in vol terms.

    my first trade was profit of 1.15 vol the fly had a loss of 0.15 vol, but the notional of the fly was 10x that of the nov. so net:

    +1.15 vol
    -1.50 vol

    = -0.45 vol pnl
  20. hit @ 17 on nov. boy oh boy are people puking this today. who knows - maybe i'm just wrong way... we'll see on the # tomorrow.
  21. i figure i'll add some of my thoughts about my position, and why i have it, as i would love to here differing opinions.

    This is a small account - i am using it to expierment/test theories/learn more about trading in vol.

    i'm long a whole bunch of vol in the front of the curve, specifically nov.


    the premium of the future relative to spot is small for the # bus days to settlement compared to where it has been recently. (if you have some analytics that you think show otherwise please share) ~25bp

    many events are on the horizon (election, fiscal cliff, euro) and while they may be priced in, we are still talking about a current 17 handle and we are coming out of an extremely low realized vol environment with expected reenforcement by the bernanke/ecb protection agency that i believe has encouraged many to be more willing to be short implides than to be long it (and i believe that is what the small spread between spot and front month is reflecting).

    the spread between short term realized vol and the front month contract is low relative to the rest of the year. i am trying to figure out an efficient way to look at this to reflect # of bus days until contract settlement, if anyone has any ideas please let me know.
  22. I would suggest you avoid the outright hedge and ratio the flies if you insist on staying v neutral.
  23. all your points make sense. the thing with vix curve trading is that although the expected gains imo come far more often than other types of trading..you may have to wait longer than a trader mentality would prefer.

    and the long vol at the front end is nice but i would prefer to have it in a fly than straight up long nov...i guess if you have a massive amount of short vol in back it may be a decent idea with the long nov.
  24. do you both avoid outright positions?
  25. i do. the long outright future is too directionally dependent; especially for me.
  26. Subscribed
  27. I generally don't trade vix flies anymore but when I did and i didnt want to speculate on market direction i would ratio them to neutralize their modeled sensitivity to a change in vol[SP] or a curve shift. Your front outright is essentially an inverse ES. To earn you need to be very good at calling ES direction in which case easier to just trade the ES unless there's a notable convergence edge to lean on.
  28. Ratio meaning -1/+2/-1 sequence.... Or are you talking +1/-2 kinda thing.

    Do you ever go short the front month calender.. (+1/-1) if you think that vol is to low and the curve is to linear or flat.
  29. for my spread/fly historical analysis i look @ closing values for the contracts, but from my observations i'm not sure those levels are even executable.

    how do those of you who trade in these typically adjust for this? if a live chat is easier we can speak on bloomie or gchat or something, let me know.
  30. I wanted to lay one off at the close, but couldn't get the order in. It looks like i would have executed at 17.60 (just to lay some risk off), so with the future actually closing 17.85 i would consider myself lucky.

    right now i'm sitting on nov with an avg cost of 17.37, we will see what happens monday. i hope you all have a great weekend.
  31. do you have some system your using to generate signals on directional trades in the futures? you seem to be half playing direction half playing the curve... ?
  32. for my trades in the curve i have/am still working on my system. sure i have ran backtests that show profits, but that is only so much in this space, its pretty d*mn easy to accidently curve fit

    the directional trade that i'm currently in is less a function of my curve system and more a function of the perceived cheapness that i see and my general market view.
  33. so your taking positions on the precieved value of the future related to the spot and direction in the front month... tough space to trade.. lot of risk up.. lot of current down in the futures ... the entire bleed shows up in the vix etfs... looking at a long term chart on those will show you how much it costs to stay long volatility in front month futures..

    do you have some back testing you are doing on the index.. then applying it to the futures?
  34. well, those indicies are very different than straight positions in one of the futures. the bleed for being long the nov future is no where near the bleed for being long VXX (the etf that tracks the S&P 500 VIX Short Term Futures Indiex).

    if you read into the document (i can send you a spreadsheet i built to replicate the index if you're interested) the index tracks the performance of a position in a constant maturity future. you may be familiar with it, but i'm going to explain it further because your comparison leads me to believe you're not completely familiar with the difference. if someone notices a flaw in my explanation feel free to correct me.

    to maintain a constant maturity future, the index rolls a position every day between the front and second month future, THIS is why it bleeds so hard, you're paying the premium between the front future and the 2nd future EVERY day. the current difference is ~80bp (this is a dynamic number and is relatively small because the dec future has always traded with a kink in it relative to other months). so you're paying the # of contracts rolled to track the index * 80bp PER day if you go long VXX today.

    if we move onto my outright nov position and you want to make a similar comparison, you can tell me that the premium i am paying is the difference between spot vix and nov vix - this is where my perceved cheapness is. the current difference is ~20bp (it actually went negative at one point today). if you're looking at this as decay, or bleed, that means i am paying ~20bp (this number is also dynamic) over 18 calendar days (12 bus days) to expiry.

    There is a very large difference between 20bp over 12 bus days and roughly 1/20 (i say 1/20 assuming its rolling 1/20th of the position each day into the next future) of 80bp (and often higher than 80bp) per day.

    i do have seperate backtests that i have run on these indicies as well

    sorry if this was too long/drawn out, or if i am preaching to the choir.
  35. yeah.. i'm familar with the roll cost..i haven't quantified it as you have other then in a lost trade on going long the vixy and holding.. which got me into the futures directly.. so we are essentially talking about the same thing.. but the difference is your staying in the one month and not rolling up the term structure constantly like the etf's.. i was just wondering how aware of the magnitude of the pull down to spot there is on the futures term structure.. and obviously we you are.. .. are you bias to trading long in the front month? and shorting the term structure? by shorting the term structure ....i mean long the calender spreads.. -1/+1 are you trying to offset your blow out risk? do you have anything in place in an event that things go backwards?

    its not long and drawn out.. :)
  36. i don't forsee any event that would take place that would send the curve into a deep inversion without me absolutely crushing it. actually, a curve inversion would be one of the best cases for me, but it isn't necessarily what i'm betting on.

    the only trade i have on is this long nov future trade, so it isn't currently offsetting anything, but sure i like other trades in the term structure, i'm always on the lookout
  37. haha well if your long the front month.. obviously you stand only to gain in tail events.. i thought you were spreading more and playing the curve.. i'm new at all this.. i find it interesting that you have it calculated how many bp's your losing by involving yourself in the vxx short term futures roll trade.. have you ever thought it might be hard to price options with another parameter.. that is term structure.. i'm very curious how the hell they could price the vxx vixy options with any degree of accuracy.. its one thing pricing risk in equities.. but an instrument that is continuously following a changing futures curve... hmm ever wonder about that?
  38. i do spread more and play the curve, it just so happened that when i started this journal my view was what it was. i have thought about the pricing of options on the etf's and looked at some historical data on it.
    it's an interesting space, if you want to chat about it send me a private message.
  39. i hit the bid @ 17.90 a min ago.

    pnl on trade + 0.90 vol

    still have two nov left.

    *edit* total pnl on journal to date is +0.45 vol and the avg cost of the remaining nov is 17.55
  40. 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. 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. novy gettin crushed today. added at the close at a level of 17.15
  43. 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. lifted a 17.00... trying to make it out of this with some pnl still.

    cost basis is now 17.43
  45. it seems like your are going counter trend, I am not sure how good that would be with the vix.
  46. VIX is volatile. two days doesn't make a trend in this (in either direction).
  47. 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. 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. Counter trend on what time frame?
  50. today was a little wild for me. went into the morning a bit tired and confused.. sold this one at 17.05, but knew i wanted more.. i lifted again at 17.00 and later in the day at 16.85 on the conviction that we were going to have a bigger move, then the market sat still for hours.. sold it back out at 16.95 because i didn't really feel comfortable sitting with that many contracts (4) outright and us not moving (figuring if it stayed like that it (the nov contract) would go much lower into the close).

    we then had our move later in the day and i sold one of the three left at 17.65

    +.025 pnl in AM on the 17.05 sale
    +.075 pnl in AM on the 16.85 to 16.95
    +.635 pnl in afternoon on the 17.00 to 17.65

    net pnl today +0.735 vol today.
    + previous pnl of 0.76 vol

    total pnl to date on journal = +1.495 vol

    current position = 2 nov with cost basis of 17.185

  51. hit the bid @ 17.75 on one of the two. not sure if it was the right move... we find out soon.

    pnl on that is +0.565

    net pnl to date on journal = +2.06 vollies

  52. sold this at 18.45. net pnl on this trade is +1.23 vol.

    i currently have no position and will post when something changes.

    pnl to date on journal is +3.29 vol.
  53. got a fill on the long feb/mar/apr fly at -.06
  54. i lifted a dec/jan switch at 1.69. i plan for this to be a very short term trade.
  55. i closed this today at 1.75.

    +.06 vol pnl in big contracts ($1000x multiplier)

    pnl to date with 100x multiplier (i trade both mini's and big contracts, so i need to standardize it to 100x or 1000x, i choose 100x) = +3.89 vol
  56. not much going on for me at the moment.. still just hangin onto the FMA fly.

    does anyone happen to have a list put together of all the VIX ETF's and their size outstanding? it would be helpful to look at and i don't have it put together
  57. nice job so far!!
  58. i lifted the apr/may switch @ 0.75.. experimental. we'll see how it goes
  59. sold this at .80
  60. today i lifted a jan vix mini at 16.65 and got hit on the apr/may switch at 0.74.

    current position:

    long the jan mini
    long the belly of the feb/mar/apr fly
    long the apr/may switch

    i'm going to just keep my pnl as % to date instead of in vol terms.. at first i thougt that would be easiest, but it isnt. i'll update pnl when these trades are done.
  61. i closed the fly today.

    honestly, i dont think the execution was the greatest, but i don't see the same dynamics in my favor as i did when first entering the position.

    i put the fly on at -0.07
    through the life of the trade it went as low as -0.25 and as high as 0.14. my target was 0.30, but i think holding the position in the current environment presents me with some unwanted risks.

    i closed the position at -0.01. so 6bp of pnl.

    edit** i promised update on journal to date pnl..

    opposed to vol term pnl i'll just post % return to date..

    8.8% return to date

    i still have two open positions.

    long jan mini
    long apr/may switch
  62. i'm flat.

    sold jan @ 18.45 (basis of 16.65)
    sold apr/may @ 0.60 (basis of 0.74)

    pnl journal to date is 9.7%
  63. Perfect timing!
  64. nice job j...keep it up
  65. thx guys. i don't think my timing was so good- but honestly i didn't like the outright jan, nor the april may, so i really just wanted out.. i've been looking to find a good level on the jan/feb... almost got in 2 days ago around 0.90, but now its just ran away and i dont want to chase.

    we'll see what happens next. thx for the love

    *my edit was grammatical*
  66. i sold jun/jul @ 0.86

    anyone have any thoughts on that part of the curve relative to the rest? im curious how others are viewing it.
  67. if you are "long the belly" that means you are short the fly. and you should list the months in order. F is jan J is april and M is june,
  68. jgills- how could you sell VIX M/N at .86? it trades in nickels. the lowest tic is 5. at $50 a tic. ??
  69. i did list them in order, but i just used month names (fma feb mar apr). if its not clear ill just type the months next time.

    to question #2
    the spreads can move in increments of .01.
  70. Never heard anyone say m for June...........
  71. Jgills and cdcaveman- full disclosure: i've traded on the floor of the Chi merc, CBOE and new location of cme the Chi board of trade for the last 16 years - now upstairs trading VIX curve.
    #1 all commodities trade with a monthly symbol letter. jan is F feb is G, march H, april J, may K, june M.... so by arbitrarely putting in your own letters for a month totally "confuses the market"

    #2 when describing a butterfly spread ie short 1 long 2 short 1. the 2 lot in the middle is called the body of the fly not the "belly" and long or short refers to the wings bc that is where the premium is in the fly. otherwise it's referred to as a "broken fly"
    so long 10 butterflys means you are long the wings and short the body for example.

    #3 you must using some off the shelf spreader bc the VIX trades in minimum tics of 5. quoted and traded in nickels. so if you trade one month v another the difference can only be .05 plus or minus of course. if you want further explanation of tic size go to CBOE website under CFE.
  72. thanks Weezy.. i guess a few of us here have followed suit with what other elder generation vol traders on ET have described.. .. (at least the ones i talk to, i completely blame them haha) they trade their own account and have never been on the floor.. i personally would love the experience.. i have heard mostly "body" and i personally describe a fly that way respectively.. short body, long body... short body = long vol long body = short vol..
    saying long butterfly or short butterfly can cause me confusion outside of options on equities.
    switches is another term we use for single calender spreads... layering them on flys for different expressions on the market.. local ET slang from the degens.. degenerates...

    i use Interactive brokers as a few of my friends on here do as well.. i'm a very easily confused beginner..

    all i know is .10 cent change in switch equals a hundred bucks in or out of my pocket.. same with a fly.

  73. i'm aware of #1 and #2, no one seemed to have a problem w my notation here, but i will agree with you on the fma part, that would be confusing. i will state the months or use the month codes going forward.

    your credibility is tarnished by statement #3.

    if you are actually "now upstairs trading the vix curve" i am terribly worried for whomever's money your trading

    FYI - http://cfe.cboe.com/Products/Spec_VIX.aspx about halfway down the page


    0.05 points, equal to $50.00 per contract

    The individual legs and net prices of spread trades in the VIX futures contract may be in increments of 0.01 index points, which has a value of $10.00.

    0.05 points, equal to $50.00 per contract

    The individual legs and net prices of spread trades in the VIX futures contract may be in increments of 0.01 index points, which has a value of $10.00.

    it says "0.05 points, equal to $50.00 per contract" giving a dollar value of .05 equal to 50 bucks.. it trades in increments of .01 for me..

    now is the actual big vix outright contracts incremented in .05 point increments? and spreads be in increments of .01... it says spread trades in vix futures contract may be increments of .01
  75. Can someone explain the basics of a VIX futures fly or point me to some reading/website. Thanks
  76. It was actually exactly explained... read it again and ask specifically what you don't understand
  77. (1) VIX is not a commodity, it's volatility product. Three-letter month "codes" are actually more common, nobody in the general vol world would actually refer to Dec variance as "Z13" var (if anything, it's Dec for front December and DecL for next December)

    (2) again, the belly of the fly is perfectly proper OTC lingo, originated from the fixed income world. if i bot a straddle and sold a straddle, would i be selling a fly or buying?

    (3) CFE native spreads trade in the increments of 1, you should check them out if you actively trading VIX
  78. wouldn't being long a front month straddle short a back month straddle be just a switch not a fly? idk.. i'm asking
  79. i was trying to write bot a straddle, short a strangle - it's a fly-like payoff yet, the "value" is in the belly.
  80. Time for a new nick, weez. Native spreads trade in nickel increments, is that so?
  81. You want to pull your head out of your ass now? Thanks for your support.
  82. I wouldnt take advice from someone who isnt familiar with simple contract specs. Everyone i know who trades these refers to them by months or duration not symbols so feel free to call your flies as you wish, anyone with half a brain who can pull up a quote understands what you are talking about.
  83. When I was on the institutional side, we even did ES rolls by month (for example: Dec-Mar roll).

    Maybe the futures guys translated that for the floors. That I don't know.
  84. you're right.

    thanks all for clarifying the notation. now that i've got everyone's attention... are there any opinions on why the jun/jul spread is the widest 1m spread on the curve?
  85. Jgills & cdcaveman- I do see the synthetic VIX spreads trade in $10 increments. I stand corrected on this. nice get.

    SLE chimed in with his 2 cents but me thinks I hear crickets...with relation to his post.:eek: :
  86. I see no prob with what sle said- i work on an OTC desk and thats where i learned the lingo. I dont think sle needs recognition to feel his post mattered. If you have nothing productive to say on the topic of the thread can you please stop posting here
  87. Why did you do jun/jul?
  88. Somehow you trade this stuff, ostensibly in some professional capacity, yet you don't know the spreads trade in pennies? How is that possible?

    You're going to wait for it to go 65x70 here?

  89. Because it's the widest. ;)
  90. the spread looks very wide relative to the rest of the curve and is above historic averages for this part of the curve.

    atticus, you seem to have an opinion on it.. can you express it?
  91. U guys are entertaining me, thanks
  92. I don't trade these with enough freq, but I don't see any edge at 0.85. I would be long if I had to choose. I don't see the 22-23 line as sustainable into Jan.

    Edit, I see that you're short... I don't have any history on the mid-curve, so don't pay me any mind. I am sure dom or noop will have an opinion if you're in the room.
  93. Atticus- I started trading VIX spreads synthetically before the CFE introduced VIX spreads as an actual cleared product like the BOB spread can trade as a synthetic or an exchange listed product. the CFE spreads offered by the exchange are a recent listing and I recall seeing them indroduced but had no interest in trading them. I applaud your perspicacity.
  95. i bought the apr/may/jun fly @ -0.20
  96. why?

    I am long puts in Jan and Feb.
  97. i bought the belly (sold apr bought may sold june)

    -20bp to me is a good price
  98. how much can you make on these? it seems like you will be playing for 20 or 30 cents.
  99. from here i'm looking for 40 - 60 cents, more than that would be great, 1 vol would be wondyful (but extreme)
  100. I was posting from a phone and did not see the other posts so I did not mean to kick you while you are down.
  101. do others have positions they'd like to share?
  102. I'd love to hear how SLE would position in front of this kind of situation
  103. today i closed the jun/jul short. added long apr/may spread and short feb/mar spread

    the feb/mar is at an avg of 85. the apr/may is 53.

    below is the IB portfolio analytics report from journal inception through today.. ill post the next one at the end of march.

    my strategy is still being worked on.

    happy new year to all

    wrong picture will update later
  104. updated image:

    this includes current positions not just closed ones.
  105. i realized i didn't post this. i sold a feb/mar @ wed close for 1.33 and bought it back this morning a little after the open at 1.23.

    i am still

    short 1x feb/mar spread avg cost .85
    long 1x mar/apr spread avg cost .53
    long 1x mar/apr/jun fly avg cost -.20

    i'm not terribly fond of the feb/mar position at these levels of vix, but with all the recent selling i think spot has some room to come back up and with feb already so low i may be able to make it work. i will be adding another feb/mar if i can get an appealing level to try to make my way out of it. i will post if i do, or if i do anything else.
  106. i am now long 2x mar/apr spread. i entered the 2nd at 64
  107. i'll be on the lookout to reduce this and the feb/mar into the weekend
  108. enough was enough on the feb/mar.. i don't think i have much edge there. closed it at 1.28 and i'll look to add to it over 1.60

    i closed an apr/may at 0.65, not much of a scalp. high today on it was ~.72.

    current position is:

    1x apr/may from 0.53
    1x apr/may/jun fly from -0.20
  109. i see some opportunity i plan to get in on tomorrow.. will post if i do.

    does anyone else have positions in vix futs?
  110. I don't mean to clutter the thread but you trade the VX curve and have no interest in trading the native spreads? It's hard to imagine that anyone "upstairs" would trade a VX synthetic when the native exists. Unless you are FIXed to the CFE and arbing the outrights vs the spreads for pennies there is zero reason to even quote the synthetic.
  111. Its fine- would u mind explaining to me what a synthetic and native is?
  112. nevermind - got it.
  113. can anyone recommend a good book? not an instructional trading book, but just a solid book to read. could be philosophy, history, anything.
  114. Wilber's "Sex, Ecology and Spirituality"
  115. "Prague Winter" by Madeleine Albright
    "Team of Rivals" by Doris Kerns Goodwin

    best two books I read last year
  116. don't pay no mind to rm. The guy can't even fund his own account.
  117. Think Fast and Slow.. Daniel Kahneman

    i thought it was a good book.. kind of that Malcolm Gladwell thing going on .. like Blink
  118. Well that's the point. How could he not know that the native spreads are offered in pennies? However he did take the time to call us out to correct us on our belief that native spreads were offered in pennies. Hmmm.
  119. i closed the apr/may today at 0.68 in the morning.

    i made 0.15 on this one.

    not sure if i reported it, but i had lost 45bp on the feb/mar.

    i am off my high, but the account is still up 8% from the start of the journal.. soon enough i'll just start posting blotters/account balances since thats probably easiest way of keeping track of everything.

    -- oh and thanks for the book recs
  120. i sold the feb/mar/apr fly @ 0.76

    (long feb / short mar / long apr, 1x2x1)

    i think this one is a goodie. any other opinions?
  121. downside is 1.00 ?
  122. I like it a lot with the debt ceiling. Otherwise I'd be outright long Feb/Mar, but it looks good with Mar at 150 over Feb and 440 over cash.
  123. Sold FEB/MAR Cal @1.51
  124. I am experimenting the following. Shorted feb/mar for 1.57, bought mar/apr for .72 (.85 fly). In addition I have shorted 100 vxx for each fly for protection against the fly expanding further. One problem I have with this trade is that everyone here seems to agree that feb/mar is a good short.
  125. yeah is true, feb/mar can def get a bit wider here.. i don't particularly like feb/mar outright, but relative to mar/apr i do.

    i like your trade - tell me how it goes
  126. I hear someone got caught long jan futures in serious size into the fiscal cliff so there has been heavy rolling from jan to mar and apr since the fiscal cliff deal was reached. Mar will likely stay bid into the debt ceiling negotiations. Tread carefully.
  127. yeah it is a bit disheartening that the trade looks so obvious to do here. where do u get that news from?

    do you agree that it is an inexpensive way to be long convexity?

    do you have the opposite position on?
  128. Rallymode, what do you think about my experiment, a J/F/M fly hedged by short vxx?
  129. well after the cliff deal thing.. the curve stretched even into the back months.. and then it bounced back to where its at now.. would make sense that who ever was taking back all that risk hedged it out into the backs..
  130. my question to you is.. what math brought you to your hedge size in the vxx?
  131. It was not market moving size.. In any case I'm almost done rolling :)
  132. Don’t have exact formula, and I don’t expect it to be a 100% hedge.

  133. eyeballing it.. saying.. if this.. then that in your head.. cool just wondering .. probably be just as messy if you put math to it..

  134. Spent more time than anyone should on figuring out what to do about Mar. I tried playing Jan and while I didn't really get hurt by the cliff I didn't make anything either (still small money; I'm not stupid enough to really do something serious at the stage I'm at now with this thing). I'm thinking I'll wait until Tuesday to do anything, as I've begun to notice a pattern where VIX rises after expiration when it declines sharply into it, like now. As of now though it looks like tomorrow will be yet another down day for the VIX, so maybe I'll set up a Feb long tomorrow and do the short Mar on Tuesday or later.
    I agree of course that the trade looks like a good one. Fighting the last war is always a worry though; maybe the fight over the debt ceiling goes into Mar and VIX stays up? Although I suppose a long on Apr would solve that.
    Ah well, no rush. Still time to think about this one.
  135. I have no opinion on the fly but i am short march vol in several variations at the moment.
  136. Everyone is short march, so maybe its time to go long march...
  137. so go long march and come back laughing at us later...
  138. Man such vol opinions...u guys all can't be the only ones shorting march vol in whatever combos..i 'm on the other side longing it..so we will see.
  139. Who is everyone? A few traders on ET? The reason why the fly is so wide is because there is some serious size behind the march bid. I don't commit large bets on binary events like these but a repeat of August 2011 would be too obvious of a scenario.
  140. Really? Hmm....
  141. i closed the apr/may/jun fly @ 0.

    $200 profit on it
  142. i traded out of the feb/mar/apr fly @ 67 for +$100 pnl
  143. i BOT jul/aug @ 57, this is currently my only position.
  144. I am still in it, will probably close it in a few days. So far both legs and hedge are positive.

  145. Are you including commission charges in your pnl calculations? on a fly commissions add up.
  146. good for you - glad u can make some money (i hope i stemmed the idea)

    it includes comission, i add 1bp on my entry/exit post to account for them. (it actually ends up overstating comission)
  147. seems my execution time was pretty bad though. hope it works better for you
  148. It was the conversation here that helped me push to actually do the trade, however i decided to add vxx to hedge against a major vix fall.
  149. Closed the fly. The feb/mar went for 1.45 and mar/apr for .87 (Fly was .58). VXX added another .06 to the profit. It was a nice trade, looking forward for the next one..
  150. Bought it back for 1.47
  151. i sold jun/jul @ 0.73... i'm late to the party, but hop on in!!!!!
  152. If you guys are still short march futures in any of the spreads this is a pretty good spot to cover.
  153. Yea... need a cheap way to get long vol from here... new highs are here!
  154. that feb/mar/apr fly really was a good one, too bad i didn't hold it much longer. missed 30 extra bp of pnl. still learning some stuff as i go.

    how did you express your short mar view?
  155. Yeh, fly is around 28 now (vxx down another couple of dollars). However I am not sure there is a way you can know in "advance" how far a trade would go. The debt ceiling issue developments seems to have been a big factor.

  156. mac, you can never know in advance on any type of trading...but i do not believe the debt ceiling played as big a role in the particular trade as you suggest.
  157. You might be right, was just guessing. When the fly was 75-85 that was the rational that was given by some people.

  158. Ive been trying to figure out how to position in the current curve
    Im young and dont have enough first hand experience to have witnessed previous times like this in volatilty. Excuse my naive perspective, but it seems like being short the middle to back calendar spreads has little downside as the curve seems to be flattening with no end in sight. Also, looking historically the curve traded flat at 12-15 vols in 2006&2007. Can someone help me to better grasp this current environment?

    What downside does short vix calendar spreads in the mid of the curve have here? If we crash it will invert and levels r so low it seems it has no where to go but lower and flatter.

    I am very skeptic of my point of view and would appreciate any commentary.

    Thanks in advance.
  159. Actually, it's quote possible for the curve[60-90 days out] to steepen into a selloff[mild]. It's somewhat counter intuitive but it certainly flattened into this rally as the back end imploded. If you expect a crash there are much better ways to position yourself without exposing yourself to a curve steepening.

    Trading in the VIX futures in '06-'07 was by appointment only so you can't really compare since the micro structure has completely changed.
  160. "If you expect a crash there are much better ways to position yourself without exposing yourself to a curve steepening."

    this is exactly what i'm interested in! haha.... these ways with options.. or differently configured spreads in the futures..
  161. yes that is what i thought as i looked at the curve from that time. the volume looked relatively non-existent.

    i see you have private messages blocked. is there a way i can talk to you in private? there are some things i'd like to hear your opinion on that i would prefer not to post out in public.
  162. j, the curve will only invert on real, repeated sustained high vol. those back futures can easily trade as is on even +4 or +5 spot vol price. at the same time i find it hard to see long vol going against you (much) currently either i just don't see back stuff earning bigtime.

    really one of the answers is screen time..which you are building up right now. i would suggest some nearer combo stuff if ur bias is higher vol in the near term. truthfully i see so little edge right now also.
  163. my bid got hit at 0.52 on the may/jun switch.

    I am still long the july/aug and i've scalped some out of it. my cost for my current trade is 0.58.

    those are my only positions.

    anyone else?
  164. hows everyone doing? haven't posted in a while but have been trading. ill post a quarterly update at the end of march. things have been going well for me and im still figuring a lot of things out.. anyone doing anything in the vix right now? lows that havent been seen in a long while
  165. taking a trip tomorrow and for the rest of the month. as promised, here is my Q1 2013 performance. hope everyone is doing well.
  166. Well done.
  167. long time since i've posted here, but i'm thinking of starting to do it a little more.

    i am debating selling the aug/sep/oct fly near 20 into todays close.

    i think spx is near the top of its recent range, so if we get a sell off it can be decent in size.

    i am choosing these months because i think a long position in july has way too much downside if vols sell off and i think this will be well positioned on any negative news by bernanke tomorrow.

    i think my downside is 10-15bp. any opinions?

  168. i accepted a fill at 18 a little before the close.
  169. Hello, just saw your thread. I have never traded a fly but it looks interesting. My personal opinion/feeling is that VIX 12-16 is over for now and the new range is 15-20. From what you described I believe this would be good for you SPX options fly (that's what you're doing, right?)
  170. actually what i traded is a vix futures fly. the position is +1x aug/ -2x sep / +1 oct

    i hope that your prediction of the new range is correct, but this could all just be FOMC bids.. we'll see :D
  171. I am somewhat new to trading VIX options and futures spreads. I don't find that fly attractive because the near month seems to drop in value much more than later months as expiration approaches. To take advantage of this, I have recently traded a calendar spread a few times. Short July and Long Aug at the top of the range, and the opposite at the bottom. These trades worked out well very quickly so it didn't matter, but I think it's a good 2nd way to make money with time.

    Of course, the far month in the fly holds its value better compared to the others so I guess that's why it works overall.
  172. adding position to aug/sep spread. i think it should be between 15-25 given vol levels and the rest of the curve.. and if we get a move down again, even lower.
  173. looking like i was wrong here.
  174. today was a really confusing day for me. given how much es was moving, i thought there would be a lot more action in the spreads, but they weren't moving much. i paid a bit away in comissions after not getting the moves i expected. how are others doing here?
  175. there is a supply and demand issue you may be missing.

    they do not react fully correlated to spx or simply because spot moved down today. a day trader mentality does not serve well imo also. in any case with a higher floor in vol i see at the very least more opportunities..maybe not true intra day stuff (u would need 22-plus spot) but more dislocations in term structure may appear.

    screen time!!
  176. What is it about the curve that makes you feel that way?
  177. the vols are creating new floors at higher levels with no exhaustive spikes that recede to lower levels.. The front of the curve is on the brink of inverting. We are ratcheting into a higher volatility environment. just a guess.
  178. a few reason:

    1) i was looking historically in 07, which was the only other time period i saw where we were reaching levels of spot vix 20 after having the entire curve be under 20 and it looked like the spreads were either inverted or flat for the 2nd/3rd months.

    2) because of how inverted spot was to both jul and aug at the time of my post.

    3) seeing that part of the curve go closer to 0 earlier in the year on lower vix moves (although maybe faster?)

    4) the jul/aug was at 5, and the sep/oct was at 32. i didn't see why the front fly would be inverted, but the 2nd one not.

    if you disagree, can you tell me why you don't feel that way?
  179. I think i've mentioned this before but you can't use 2007 as any type of comparison. Also, spread dynamics change a few times a year so going that far out will yield nothing worthwhile.

    The dynamics of the second fly are quite different than the front one. I don't see it inverting in any meaningful way unless we drop all the way to the 200 day MA on the SP in a straight shot. In which case you are better of just being long puts than being short a fly when the curve is nearly flat. Risk/reward is quite skewed against you. Easier money is on the short vol side here IMO.
  180. thanks for getting back. i guess i need to study up more on the dynamics as clearly i thought it would be inverted by now and 1) it isn't 2) you understand why it isnt.
  181. i've gotta thank some users here as i closed legs of my fly at different times. i legged out of the short calendar aug/sep leg at 0.37 a few days ago. i finished the rest of the position (the long sep/oct spread) at 0.43.

    the net pnl turned out to be pretty good, but i owe some credit to both sellindexvol and rallymode for helping me to realize a problem in my position.

    i still liked the long leg, but given that calendar spread margins are increasing close to 6x tomorrow, i wanted to sit out and see if it has any impact on liquidity and moves spreads around a bit.

    seeing as its almost the end of June, i will shortly post my YTD performance. the past month has been very vital to my learning and i havent performed as well as i would have liked.

    hope others have done better and thanks for following
  182. Say what? Where did you see this 6x margin increase? I have received no such update from the CFE.
  183. Rally I emailed u this morning..permit holder margin circular gets it first apparently.. u most certainly have it in your inbox. I was on phone half the morning with CFE..they confirmed it.

    I can resend if u need it.

    This is a game changer if they implement. All day today I reduced. Shout out to NJ rookie who clued me in..thanks again.
  184. Margin tab is for current margin. The new rate kicks in tomorrow.
  185. I am a TPH and got no such notice. Even if i did, 6x increase with a 2 day notice - LOL

    The CFE can kiss good bye to their ever increasing volume and OI if they don't reverse this insanity. It's absurd to have the front spread with a margin req pretty much in par with the outright. This notice is a complete joke. Too bad it isn't April 1.
  186. Did anyone get a reason as to why they are doing this!? Seems like a drastic move unless some things have blown-up behind the scenes that are prompting this...
  187. OCC wants it "from their MC model and due to current market environment". A bunch of gvmt acad quant type who had no idea what is going on.
  188. I am not a conspiracy buff but this has a hidden agenda written all over it. I will be very interested in doing some digging around in my circles when i get back from vacation.
  189. there was a good amount of volume coming in when the curve went flat and dipped into backwardation intraday last week, maybe someone important got caught up! or be related to ETF's too, CS vol desk might need some help :p
  190. I talked to the guy who put out that circular...he was timid, clueless and odd. U can surely afford to make some calls from the local cafe..cmon!

    $8,000 margin per fly long vol? There clearly needs to be people there who understand risk measures ..
  191. I used up all my quarters making wire transfers for the pending margin calls i am about to receive after the close.
  192. i don't see the new requirements effective yet.

    has anyone experienced hikes like this before? would they not come until 9:30 when spot and options open? or is there some other press release im missing?
  193. i just spoke to the guy Jim (his name is on the bottom of the circular) - it is effective at the close today and it is planned to be something permanent per OCC's "new risk model and CFTC regulations"
  194. obviously the impact on volume will be significant if they keep this permanently, where does that money that was active on these spreads go... moving into options might not be viable for all strategies, any ideas? I know i'm not very active on here, mostly because of timezone, but been reading and following most of the contributors to this thread for a while
  195. he just called..live on close, press release any time on cfe site. as an eternal optimist, i hold out hope rally has some point to this...but still i flattened in to less size.
  196. two separate things here:

    1. where to get all the quarters?
    2. r u comfortable with a large pot of margin equity money sitting on the broker's account?

  197. this is bad for smaller players (small hedge funds, people trading their own money, etc..) as it now significantly reduces their potential return on capital and their capital is limited.

    this is good for larger players (large hedge funds, banks) as their ROC is also reduced, but capital can be relatively (to the smaller guys) endless.

    positions will need to be much better timed and calculated as you can't hold nearly the size or add nearly as much.

    i think the volume impact in spread trading is large at first, but the gap can quickly be filled by larger banks and hedge funds if they step in. The problem is really where people see risk/reward being appealing enough in the new capital requirement regime.

    a solution for the smaller guy who is good is finding OPM or going to work at one of these funds/banks.

    just my 2c. what do u guys think?
  198. never opm and never worked for another...just will be more selective and work different vol curves..and possibly live on less usa cash.
  199. Just got off the phone with CFE folks. New margin kicks in after close today. Better get all the quarters in.
  200. as mentioned, here is my YTD performance for the first half of the year.

    things got a little choppy for me recently as i'm still figuring things out, but thanks to everyone for their help along my way.

    heading on vacation next week, hope you're all having a good year.
  201. I heard that a couple of large players in the space had been pushing for an increase over the past 12 months. I am assuming the intent is to reduce the spread size that has saturated the book as of late. I can certainly agree that it has become increasingly difficult to fill any meaningful size until the last 15 mins unless the ES moves violently.

    Having said that due to the new method, it seems that not only are the margins here to stay but will only get worse should the vol pick up further. The way things turned out may actually backfire as the margins are now spit out by a formula, but it is what it is. Personally I am not too sure yet whether i like this or not since it may actually open the ranges back up. I'd rather be able to fill all the size i want when i want even if it comes at higher cost of capital.

    Best advice, If you are going to continue to trade these in size you cannot afford to be with IB as the margins could change on a daily basis. Go to a broker that does margin calls or move on to another product. I will not name the broker due to the relationship i have but i had 2 full days until i satisfied my margin deficiencies [7 figures] and could have possibly been given another one.
  202. don't know if you saw this

  203. i for one would rather put up more capital and have possibly wider price ranges. i hope that comes to pass..

    also..your advice is very good..its time to move on from ib.
  204. I am not seeing why the spreads will get better. If there are less players then I would think the spreads get wider.

    How can more players, even if they are little, make the trading worse?

    All I am certain is that I will have to scale way back on my trading.

    For an account with $100k can anyone offer some ideas on what they may do differently to manage it? I would think being patient for a better setup would be key and be slower to add to a postion for fear of being the weak hand and forced out.

    The carrot seems like it got moved for the little guys.

    A poster said he woud leave IB over this(I use IB) I don't see how that helps since it is the exchange that changed the requirement and not the broker. Can someone explain why given the change a new broker may be of benefit.
  205. Wider spread means inefficiency. That can be an edge.


    IB will force liquidate you in a moments notice because you are just customer #U7601212111, whereas with a broker where you have a relationship they will (likely?) give you time to make whole.

    Some posters on ET have documented being force liquidated at IB, and of course that would probably be at the worst possible time (i.e. bad fills, wide spreads, illiquid hours). Personally I trade at IB and I don't mind their policy, but I also don't trade in million $ notional value or have fine tuned strategy/margin expectations.

    It's just different risk management policies (for both the trader and the broker).
  206. a little ballsy.. maybe should have gone a little further on the curve, but sold jul/aug 1.54

    this has a pretty tight stop on it.
  207. Calendar spread, long july short aug?
  208. yes
  209. I like it. Be mindful that Tuesday is the last trading day for the Jul. I believe the futures are automatically settled in cash according to Wednesday's VIX special opening quote (SOQ) if you hold through Tuesday's close.
  210. yep - i am aware. i will be out by teusday at close, i appreciate you looking out though :)
  211. out at 1.47. very small pnl, and as soon as i got out it went to 1.39. whoops, but wasnt exactly sure where it would go at this point, so wanted to be safe than sorry.
  212. good deal. I took the opportunity to dump some Sept 14 Puts that were gathering dust on the back shelf, from a straddle trade of old.
  213. sold 1.54 in jul/aug again....

    (i had actually done this at yesterdays close but didnt post till now)
  214. out again 1.47 ... probably just a few minutes before it runs to 1.38 again :D
  215. anyone doing much here? i'm just hanging out waiting.
  216. its not like there are many vix traders man!
  217. sold 1.4 on the aug/sep spread. join in guys!
  218. i closed it at 1.34.. not much, but given the amount the markets been moving and the position i was in i will take it.

    does anyone know, has there been a change in spread trading volume since the margin hike vs before the margin hike?

    what about spread trading volume as a % of volume for each contract?

  219. Haven't looked at volume since the change but I'm personally trading much less size on these and spreads seem to be moving slower, but again the whole market is slow during the summer...
  220. sold 1.45. hop on again!
  221. this ended up working ok. i closed it after taking losses to 1.6, but sold again 1.83 and closed it out at 1.35. i missed out on a lot of the move, but still earned something.

    right now i bot oct/nov spread at 0.71 mid day today. not the best level, any opinions? what do others have (if anything)?
  222. hey ...i had my share of fronts from 155 average...but i closed them on monday early @100 due to vacation worries i could not get to an internet connection. wish i held of course..

    i like the oct nov but consider adding sept oct short on rallies in es.
  223. i got a nice sell in the front during kerry speech and closed it for small profit near the close, i also closed this long oct/nov from 0.71 at 0.68 for a small loss at the same time as i closed the front. net i only made a few cents, but in light of the market reaction to kerry i felt it better to be flat and re-assess as my original plan has been changed.
  224. some movement in the spreads today - i scalped a little bit in the front of the curve today, but nothing big and ended the day with no position there.

    additionally, i added a steepener position in the middle of the curve (dec/jan) at the level of 0.63. anybody else up to anything?
  225. I have been watching the spreads but have not tried trading them yet. The inversion in the front this morning was tempting for a long though...congrats on the scalps. I was toying with legging into some option flies today on the volatility but I wonder if the spreads might be more fruitful to focus on.
  226. vix vols got pretty bid today. there might be interesting things if you are into selling that type of stuff.
  227. i didn't get the chance to post end of q3 YTD performance (final date of metrics are 9/30/2013).

    see attached.

    things have been going slower for me lately than earlier in the year, but going up is better than going down.

    my current MTM is a little higher than whats shown there, but we'll see how the next few weeks play out.

    all of my trades for this year have been in vix spreads or butterflies. many of the trades were posted on the journal, but some have been intra-day that i haven't posted.

    i hope everyone is doing well.
  228. thats great man.. good for you..
  229. I just read the first post and couldn't figure out what "long belly of jfm fly" means. I figure the long belly refers to being long the butterfly body for a short fly, but what's jfm?
  230. at the time, it meant "jan feb march" so calendary fly that was long the feb and short jan/mar
  231. Holy cow never heard of calendar flies. Did it start like that or morph into it after adjustments?
  232. You really can't compare to first half of the year in any way. It truly sucks when all your leverage is taken away which makes me very surprised to see people still trading these with IB. If you were doing 50% on capital you would be down to 5% on the same risk after the nearly 10x margin hike.
  233. ib tacks on a bit more than cfe but it still costs you nearly as much with your alternatives.

    the real issue is if you continue trading these can you trade these differently enough to still make it worthwhile?
  234. You call 30%+ a little? Let's do some math.

    Exchange maintenance - 5000
    Exchange initial -5500
    IB initial - 6600

    If we enter a bear market the margins will likely hit 10-20k unless the methodology changes. Guess where ib will be? Lol You better milk it while you still can.

    And to answer your q - the game is over. The only way to make any serious money now is to have a few mil in trading capital. We should feel lucky we were able to use crazy leverage since 2007.
  235. I agree with rally. The new cfe margin is ridiculous. It is not even internally consistent. Spread is too expensive and outright too cheap relatively.

    Time to move on and expand to other products.
  236. Yes, what has happened here is a disaster , much more for me than you. As you know this is all I have done for years and cannot walk away so easily.

    I am still waiting for you to fix this. :confused:
  237. lol To be honest this whole thing has been a blessing in disguise for me. I used to do 5% of the volume in durations over 60 days before the increase. I cut my size atleast 80% and now my stress level is non existent. Not to mention the free time. Sure I am down to about half the earnings but I am not sure I have much interest in it being fixed.
  238. It has been some ride , I'm sure you are liking less work and stress but soon you will get bored.
  239. Couldn't agree more with rally and sellindex; i haven't been trading these for years as some of you, and i'm sure my account size isn't nearly where you guys are, but when I finally understood and learned how to trade these spreads about a year ago it did wonders for my performance... since the margin hike i've only taken a couple trades and none with the profitability of previous ones. I've been forced to focus on other strategies. Brings to mind one of my favourite PTJ quotes "you adapt, evolve, compete or die" or if Jay-z is more your style "on to the next one" :p
  240. You are probably right now that the boat is in winter storage and the weather in Chicago is starting to cool down. I am not sure if you traded these back then but when i started in 2007 the spread margins were 50 bucks. :D
  241. even less to do right now as cfe is down. honestly its a travesty and should not stand.
    you sucked me in in july 2008.
  242. yeah.. after this recent move in vols and the corresponding margin hike, it really has shown me that i joined the party late, and now its over.. on to developing some new methods.
  243. I thought volume on these would die completely. This isn't a big part of what I do anymore but if you'd like to see it changed you should call the OCC. Its out of the hands of the CFE now. From what I can tell it seems that I'm the only one who has complained to the person who actually set it so he doesn't really see it as a problem.

    Other option is to find a broker to extend you a margin loan. I don't know one that might on a smaller account but its possible.
  244. do you have the contact info for the responsible person at OCC?
  245. no doubt how many people follow this thread now haha
  246. I can PM you where his kids go to school :)
  247. Whoever you talked to at the OCC is a liar. The guy I spoke with didn't sound much different than the incompetent hacks you would encounter working at the DMV. I called back in July and also had a couple of people of stature call for me and from my understanding the only way to change policy is with a move from the board. So unless you know anyone in the exec office of their top clearing members or trustees your phone calls would fall on deaf ears.

    I suppose it won't hurt to start a campaign though. Maybe you guys can raise enogh heat around it. :(
  248. last time i talked with a senior person at CFE about the margin hike, i was told that that the CBOE top person was going to have a conversation with the top person at OCC. i guess that did not work out.
  249. If I was local like you, I would walk right in to the offices of the executive officers.

    Do i have to take a flight there to walk you in ?
  250. I agree this is a really confusing move. I've generally found exchanges fairly willing to work with me on changing margin when presented with a reasonable argument. I was trying to get the OCC to do flys for somewhere around $150 - $300 which didn't seem crazy at the time. All seemed to be on track and I had no hint that instead he was going to do the opposite. CFE wasn't even aware of the change until I told them.

    My guess is, since they mostly do options, their model 'wigged out' on vix calendars or somebody large was annoyed at all the smaller players messing around in the calendars and wanted them priced out. I could believe either.

    Not so much an issue for me since I can do a cheap margin loan but if I were in Chicago I'd call and arrange a meeting to present my case.
  251. I think I posted in this thread a while back that this is precisely what I was told by one of my connections unofficially. It explains why the volume never dropped and it's the reason why I never pressed the issue further. It would have required too much leg work and perhaps greasing some wheels and my pockets aren't that deep. It was easier for me to explore my broker relationships further and arrange higher leverage.
  252. Believe me man I've tried. Pulled all the strings I could. You think I like taking a pay cut?

    I figured I'd give it some time maybe they will change their stance. I may put in another effort over the winter if get too bored. :)
  253. i took my biggest loss ytd today and figured i'd write about it here.. i had taken the position that if the debt ceiling was not resolved by today the inversion in the front would be much larger, similar to what existed last week.

    i initiated the position long oct / short nov in regular 1:1 calendar spread fashion last week monday or teusday, and watched the oct/nov invert to as much as -0.80 cents, which made me quite happy. i took small pnl that day after announcments were made that there was progress and it collapsed back to -0.30. i then re-initiated the position with the same thesis at 0.15 on the oct/nov spread a day later.

    the re-initiation was on the basis of my thesis that they will continue to procrastinate and vols would hold a bid. to my pleasant surprise the vote did not pass over the weekend and i watched the spread collapse again earler in the day to as low as the low 0.20's. unfortunately, even though i was right about how long it would take to come up with a solution (which is what gave me the resilliance to maintain the position through wed/thurs ripping against me in my face) i was wrong about how the spread would act, as clearly it steepened very quickly and vols sold off with the rumors of an agreement being reached very shortly. I wanted to maintain the position, but seeing as there are only 2 days to settlement, i fear that washington has instilled the confidence in the market that a deal will be reached before the deadline, which is also a day after oct settlement.

    now that i've written about it, what do you guys think about the position i took, the thesis behind it, and the corresponding loss that i took.

    should i have noticed much earlier that i was the wrong way? did any of you take a similar position?

    the loss gave back about 20% of the year's gains. and i closed the position while the spread was in the 80's today, clearly got out at the worst time too
  254. your view is too strong...
  255. i don't know what i'm talking about.. but you took way to much directional risk up front.. but you obviously know that.. i'm sure your not looking to hear from me specifically haha.. but whatever.. better to trade flys instead of single's
  256. Other than trading smaller, you should avoid having a position in the front spread when its within 7-10 days to spot. As far as the trade there is no reason for the front to stay inverted for long, we are not in a bear market. Last week vols were very well bid(they still are) relative to the SP. If you thought there would be no resolution, you would've been better off selling the spoos and hedging with some short vol.
  257. Trading that close to expiration in that direction you are betting too heavily on high and increasing levels of sustained panic. When close to expiration don't get fixated on absolute price of the spread. It becomes meaningless as the front outright gets more tightly tied to the index. It's actually safer to trade the outright during panic times because overextended moves and sharp reversals are easier to spot.
  258. thank you all for your feedback.

    my thought process was slightly different though, i was not expecting sustained panic, just sustained uncertainty.

    i've noticed that heading into events, spot generally inverts relative to the front month, even if it is only event driven vol bids which fade as soon as the event is over and it is generally difficult to take advantage of, i thought that i could do it in this case since the event coincided with oct expiry.

    now since the event coincided right around expiry of the futures, you would see that same effect but it would cause the oct to be greater than nov since oct would essentially be spot.

    clearly in this situation i was wrong (and i can take credit for getting out at the absolute worst time)

    the thought process in my head when i got out was that my thesis had to be wrong because the politicians were able to instill enough certaintty in market participants to drive vols lower and even surpress spot to be below nov. i dont know if this is because of a flow thing (people can either buy the options that comprise spot, or buy the nov future because oct expiries too soon for their hedge and they chose the nov future) but even knowing this i felt comfortable because in my head i believed that spot would catch that bid for protection.

    in general, what are your thoughts on an approach like that exclusively in the front to supplement my additional strategies elsewhere?
  259. speaking for myself; i endeavor to enter combo's as "edge entries". there is little edge in a straight out pair that needs a sell off. you want to line it up with another pair as you already know. the question is..can the lineup be an edge price that regardess of market direction it will earn money?

    again, i trade these with less directional dependence..but it takes time and size. time i have; but with the new margins i'm really cut back and considering other things or strats.
  260. looking at whats going on in the market today, i wouldn't say the general thesis of my strategy was that far off. i think the main problem was the actual prices that i executed on. i should have been more patient to wait for things to calm down before rushing in, but i will admit that in the moment i didn't really forsee things calming down prior to the event because i didn't think the politicians would have the ability to calm things down as well as they did.

    i'll have to do things better in this type of approach next time.
  261. this is no edge predicting politicians, especially just in front of expiration.

    1. you do not know what they will do;
    2. when they will do it;
    3. how much certainty/uncertainty they want to create/destroy b/f expiration.

    move on. do not regret. just do not do it next time.
  262. thx njrook -

    the only consideration of politics that i put towards my original trade decision, was that it would take the politicians until the deadline to figure it out and that the undecided event would keep a bid on vol at some level and enough to maintain spot vix > front futs. essentially my play WAS that the index would be higher than the futs because of this event risk.

    i think that type of view is pretty consistent for the environment we are in (proctrastinating politicans), and thats why i was comfortable with it.

    the problem i see in my view was that i didn't consider what the market would do in the interim nor what absolute levels of vol were actually too high or too low. i thought that the levels we saw last week would be the only levels or higher until a decision was made, which was clearly a naive view to take as the poltiicans came in setting and changing market expectations.
  263. Word is there's relief coming sometime next quarter. Quite a bit of red tape involved so hang tight.
  264. been just trading option cals.. been doing alright.. 150 in margin req on a horizontal.. better for my small account anyway.. i know there is skew risk etc etc.. and its far from as clean as outright futures spreads.. but it works for me.. i can put a full curve play with options with a shit load less money.. when it comes down to it its about variance to margin... the futures spreads are less then a third the variance to margin ratio as options now.. thats just my rough calculations.. and one spread in the back month is 5500 at ib which is way outside what i can bare for one position in my account. i'm small.. i know all the arguments against options.. but whatever its working..

    correct me if i'm wrong here..
  265. so i put a dec/jan 16 strike call cal into that last spike for .45 cents.. sold it for .90 cents.. while the futures contracts with the same expiry producted about .65 cents in profit as oppose to the .45 cents i made..

    thats 45 bucks on 150 in marg req.. against 650bucks on 5500 in margin

    options spread hit 30 percent on margin.. futures.. 11 percent...

    the overall level of vol supersedes alot of the slightly more complex strike risk/ skew risk stuff related to options .. imo
  266. thanks for updating us rally.

    are they keeping the same OCC as regulator and simply reworking the risk parameters on spreads; or is cfe gonna take back decision making and also "relieve" the margins to correct mathematics?
  267. I believe OCC is always going to be the regulator now. CFE is just trying to negotiate a better deal to boost its volumes in trading.
  268. does anyone have any opinions on whats been going on in the front end of the curve this past week?

    are vol levels perceived to be too low and people are interested in buying dec, hence lowering the front spread/fly a lot? its weird because no other month-to-month spread is having a flatenning like we're seeing in dec/jan and i'd like to hear other thoughts.

    my op (and the naive one) is that people see the dec absolute level (~13.7) as being too low w this much time to maturity, so they are buying it and just continuing the selling elsewhere on the curve.

    the strength in dec has just been so strong that i don't think it can be due to one person or another unwinding/initiating a position.
  269. 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.
  270. 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
  271. 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.
  272. Wonderful move and as opposed to last year I was on the right side,lol..

    J, see ur email etc for my 2 cents.
  273. 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)
  274. 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.
  275. 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.
  276. 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"
  277. 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?
  278. 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.
  279. why not just do it in options, given the liquidity?

  280. How would most effectively do that.. Call calemderwith delta hedging...or....
  281. i had traded the jan/feb/mar fly (long the wings) last week at 47 and covered it this am at 26 (21c gross profit) the front moved a lot EOD (although this fly did not move THAT much) i re-entered it @ 32 in after hrs.

    honestly i thought that the flattening in the front was potentially coming to an end, but after seeing the move in dec/jan EOD and the dec/jan/feb fly, i think there may be some juice left of the jan/feb/mar. addditionally, if you look back last year around this time, there was nothing terribly notable going on in spx or vix (although debt ceiling was on the horizon for end of month), yet this fly and the one in front of it still flattened.

    does anyone have any opinions on this? i think we can see it trade at 20 or lower.
  282. can see your trade on 10:15:41 10x @ 25.75 :)
    legging in slowly?
    sadly only vix futures are liquid enough, even v2x takes a long time to leg in
  283. i seem to see expected outcome easier with the futures.

    i will look at vix now that they trade in my timezone, thanks guys.
  284. You can't trade pure volatility with options.. Unless your gonna delta hedge there's no way to extract the volatility the options represent.
    So then your PNL is directly related to how well you hedge. When you trade options without a D1 hedge you imply a directional bias.
  285. i took the jan/feb leg off at 91.

    the front fly had dropped all the way to -25c and then started to catch a bid back up, this was shortly after the front spread got a strong bid at 68 and swiftly went back up to 80 (which one of u was it?).

    i did get to see my fly trade at 19, which is where it was when i existed the front leg of it, at this point i think we can see the curve widen back out a bit so i will potentially maintain this position of short feb / long mar in the short-term.

    my only concern is NFP coming up may keep a bid there and not allow the feb/mar to widen back out. personally i think it can see 80 before nfp, what do you guys think?
  286. You talking about the Feb/Mar spread? It's .70 now, so any sort of curve steepening would make it .80. Pretty easy IMO, since Feb is the 3rd month, and that's what I love to short. (Me and I'm sure a buncha other smart alecks.) …and it widened to .75 as I typed this...
  287. do you ever hedge a short vol trade like that?
  288. Yeah, I buy 1st & 2nd months, then start shorting from 3rd on. Suffered when the curve was steepening a couple weeks back, with front declining while back was rising, but all better now. I'm realizing more and more I have to watch the VXV/VIX ratio to get a good handle on when to do this and when not, or at least when to be heavily in it and when not.
    Like I said before, 3rd month seems to be the charm, at least for me. Mostly I short the 3rd, do a little after that.
  289. It works untill it doesn't.. Have you seen what your book will look like going through a 2008 or even 2011? were you trading then
  290. Not this way. My logic, such as it is, is that the front moves more, so it's a decent hedge. Did a ton of empirical research, and what emerged is that, for whatever reason (actually I think I have the reason down, but that's another story entirely), the third month provides a reasonably steady return. Front month is exponentially more volatile, so I figured that'll do as the hedge. Actual experience has varied some from that logic and the proportions of buying & selling I was using, as I noted, so I have to do more work on the right proportions under differing conditions. It has been reasonably good to me so far though. Up this week despite the rise in the VIX, for instance, so that's something.
  291. Well that's good.. any research is better then no research... I in the past always shot from the hip, and did all the quantitative studies after i lost money..
  292. yes, if u have a book of long and short vol thats great..of course its an art to make it earn overall. good luck.
  293. Thanks!
  294. given that all spreads had continued lower except the jan/feb.. i added a jan/feb back on at 95 earlier this am.
  295. update: short spread dec jan is 2.95

    long spread jan feb is -1.25

    this means the fly is 4.2 points apart.

    now for the correction to original post pricing:

    i quoted jan feb as ".25" on the trade start> it was really "-.25"

    so original fly price was 3.35 "apart"

    i am down marked on the fly by .85 cents

    have not added. will update at end of next week. the move in jan futures i did not expect; although i expect the fly to flatten by expiration.
  296. i sold dec/jan spread here (long dec, short jan)

    i think with spot >= dec and little time to maturity + fomc on the horizon it has potential to earn some over the next week. i also am short vol elsewhere on the curve
  297. isn't the fomc meeting dec 17-19.. isn't that after dec expiration?
  298. minutes are out dec 18, day of expiry. the thesis is front end of vols will maintain a bid ahead of the announcement. im not going to hold it through expiry, i'll close it prior to.
  299. 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.
  300. he still felt he could have won if he kept the trade longer ....
  301. Why would they (keep vol bid)?
  302. 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.
  303. 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.
  304. 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?
  305. 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?
  306. 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?
  307. I consider it Sep and you're trading into XMAS. Good luck.
  308. FYI - the exact same thing happened last dec.
  309. What gills is looking for is convergence of his short vol in his book while banking Dec vix not dropping any more. Dec Jan as a stand alone trade taken right now I would not do at this time to expiration but in the context of a deeper book then fine...and he does not need a selloff to earn. If the market sells he can lose more on the short vol book if not setup properly or he can earn..screentime and experience are key. I have seen countless guys fail here.

    Its such an art and far from intuitive though. Gills, I do like your explanations of what got you in the trade...but if I were you I'd make a plan for December to January cycle.
  310. yes - i essentially moved what was short jan feb spread to the dec jan spread, it will only last a few days, but i think it has the potential to make some money as well.

    all in all i am long dec, short jan, short feb, long mar.
  311. Dude, I understand it. He can consider it a hedge against long the deferred, but that's not the point. He was talking short dec/jan and made no contextual comment until we asked why, and then it's, "Oh I am long the back month." Regardless, don't argue for the merits of a spread while ignoring the rest of it. We're not mind-readers.

    And I don't think the back long will make up for this dec/jan unless he 's 2-3x ratio'ed and/or we drop SPX here, but I don't spread futures much with vol in the bottom decile. Cash may tick to 13.00, but IMWO there isn't a lot of risk in short dec/jan. Ask Rally, he doesn't like it.
  312. What ratio? Condor (1:1 across)?
  313. no - but i dont want to get into what the exact ratios are, but it isnt 1:1

    also, i am arguing for the merits of the spread because i think its a good (although volatile) trade.
  314. simmer down "dude" its ok...i would not say gills intentionally mislead us ...plus i'm sure he will detail how he did next week.

    i love rally more than most; but i have to say being my own man i'm long dec vol pretty big (and that was well before his post!) despite his reservations.
  315. I am not questioning his veracity. He didn't talk about the back months until later. I agree with gills that there may be some residual vol leading into the Fed; cash traders refusing to mark to theta and thereby ramping up vol in the wings on the cash calc.
  316. who know how far $vix can drop. we have seen below 12 a few times earlier this year. there can be multiple fed speaks b/w now and FOMC to gradually prepare the mkt for the (lack of) dec taper.

    front does not behave well this close to expiration. while there is not much of anything else going on, i would not push it with front.
  317. Interesting conversation here. Only thing I'm doing in Dec now that has any value at all is selling puts: I have ten 15/14 Dec put spreads sold. Not looking good right now, but if VIX moves up on angst over the Fed stmt it might do something for me. Else, long Jan, short Feb & Mar (which I consider the 3rd month now), long Apr.
    Generally speaking, long the front into expiration via some sort of options spread has made money so far this year, as the Fed winds up taking action on precisely the day of expiration, which means the SOQ that morning winds up being higher, usually, than wherever spot closes the night before, I'm sure because people feel the need to hedge that event. It's almost a regular moneymaker. I might do some sort of call spread on VIX the day before on a lark, as unless VIX moves up a lot before next Wed those sold put spreads aren't going to do me any good.
  318. wow - that happend much sooner than anticipated.
  319. nice job..i covered a bunch of long dec vol at very good gains also.
  320. i couldnt believe my eyes when it went to 0.50.. i rushed to get some orders in but it was too late. i closed 77.

    i had added some and scalped a little bit yday from 1.1 to 1.04..but nothin compared to today.

    i'll be keepin my eye on it to add if it is over 1 again
  321. good call. 2nd spread also responded quite a bit.
  322. ES down 10, what would you expect this close to exp?

    Spread is up a dime. What did you book on it?
  323. Actually its worse, we are down 20 handles since the call. The loss would have been disproportionate if the ES had rallied 20. I never understood why trade the front spread this close to spot when a simple ES short or long would be better in risk terms. Even as a hedge to short vol elsewhere.

    Nevertheless, i am glad it worked out and was profitable.
  324. Yeah, I don't get the hyperbole. Spread is up a dime at mid (today, marked to this post) with cash up 0.73 on a selloff.

  325. started with "es has to be down 20-30 to make money" to es is down 10 what do u expect?

    are u here to troll me or what?

    es was down 5 handles (from the close) and the spread traded 0.51. thats down 50c on day. i got out at 77. my avg px was 1.08, so 31c gross pnl. i agree its down 10 now and spread is a bit wider than earlier, it is what it is and i'll be keeping my eye to add again if conditions are right.

    maybe rally is right and i need to re-think it and i'm being fooled by sp direction, but its hard to tell.
  326. gosh..he made like 30 cents in a few days.

    why attack so much?

    i stand by my belief there was always little downside but a ton of upside in the trade, even as isolated.
  327. As Rally stated, ES is down 20 since you posted the trade. You act as though you bought CDS and they paid off.

    Yeah, it traded down to 51 for exactly one minute this morning. I don't get your point. It's been 85 mid most of the day with ES now down 12. You got an out solely due to a cash rise of 80 cents as a result of the spooz taking a healthy shit. And it's 85 now with futures near the low (ES).

    Delude yourself into thinking it doesn't matter. Whatever.
  328. I am nearly certain that if you trade this 100 times under similar conditions you will come out net loser and the loss won't be small. In fact, if i wasnt trading my own money i'd be trading the other side and selling var. :D
  329. I am not attacking. He stated he didn't need a selloff, but that's exactly what was needed for him to make anything. Gills mentions the one trade at 51 this morning as though it's relevant. Any more and the thing would likely be busted, and that's the confirmation? Plz.

    Here's a 2 minute reso chart:

  330. its hard for me to argue that i didnt need a sell-off when one happened and there is nothing else to compare it to.

    FYI over 100 spreads traded in the 50's. i mentioned the lowest tick because i was trying to show my point that it went down low.

    the point of the trade was that it has this bonus accelerated move to it. you need to be fast to trade it. you dont wait around, u need to strike when nonsense like that happens, but the point is that it happened, and its what i was aiming for.
  331. do you have a sample of 100 similar conditions that i can see to confirm?

    additionally, i would NOT necessarily recommend the same trade in var space (if you're suggesting trading dec var vs jan var)

    and as sellindex keeps saying, my short vol was through steepners in the curve and this was essentially a ratioed fly, i just happend to take this leg off because of the amt that it moved.
  332. i never saw 51, as i closed @ 70 cents on "some inventory"(from 185) 952:51 am est

    also, in the context of front spread trading i personally agree with rally thats its crazy and random; but i'm pretty sure most who trade this including gills is not simply trading front alone.

    yes, you will get destroyed in time if that type of trade is your only..thats probably why so few actually make it here.
  333. One trade at 51. It took 80 cents on cash to move the spread a dime, a nickel at mkt, that's my point. People on this board would rather be right than make money.

    FWIW, I think your premise correct; that cash would rally into the taper meeting, especially due to a serial SPX expiration that week. Bids on wing-vol prem would definitely hold which would force cash vol higher. I just think there were better trades but you got what you needed.
  334. Are you up on the day, net-net with the back months?
  335. yes - the other ones havent moved much

    funny u say im acting like i bot cds and they r paying off, because in something completely seperate, thats the kind of payout im expierencing. lol.

    i bot a stake in a friend playing in WPT main event and he just made final table
  336. Ha, I know Joe C. and he had to be dragged to play in 2008 and won a mil. Was the largest payout (excluding main event) to date. 200 hands HU.
  337. awesome.

    i appreciate everyones input on the trade.

    rallymode: i'd like to further discuss why you think that in 100 samples of similar conditions you see it being a losing proposition? what do you define these conditions as? and for this case, lets take the front position as its own. looking at trading it in the final 7 bus days before maturity of the front.
  338. I have data showing sensitivity to a change in vol, change in curve shape or a simple curve shift and without going into details i can say with a high degree of certainty that under current conditions the flip side has better expectancy and i would be all over it had it not been for the fact that such a trade as constructed would share the risk profile with a short put.

    Now if you were to tell me that you intend to hold until the close on expiration day i would agree that there may be something there however any improvement in PnL would be very path dependent. Meaning you may have to sit through 50-100bps loss before you make 10 - 20 cents or breakeven. Not exactly prudent trading imo but since i am being vague feel free to disagree or disregard it completely. :)
  339. fair enough and i appreciate your color.

    your description is what i was aiming for, but i knew i would potentially experience losses and therefore kept extra on the side to add if i had to. i know this trade had some serious downside risk, but thats why i wasnt loading the boat with it (i took your advice from last time and kept it small). maybe ill move off it next time around, but we'lll see where we are at then.

    because the pnl was able to be realized so soon, i took what i can get because the path that was presented to me. should we get back up there, i will probably look to do it again (but i may look for a better entry this time around)

    good discussion, thx for the input. not all my trades have so much variance to the pnl
  340. and there it is, -20 on es and 70 on the spread. u were all right.
  341. I thought it would work, but that cash would touch 13.00 prior to the Fed and you would be needing a buck on cash to beat the premium. The thesis is good; to be long the synthetic time on the refusal to mark-down 10D strangles into the Fed on a serial expiration (my opinion).

    The street-vol analogy would be XYZ coming into earnings and the front vol rallying from 60 to 80 due to the binary event. The thesis was unproven due to mkt action in the cash mkt, but it doesn't mean you were wrong. Outright long Jan was nice!
  342. Are you not in really good shape today, or am I misunderstanding your trade (Dec/Jan)?
  343. i'm good. i was long dec and short jan. i closed it yday for profit and have nothing in the spread today, although it has moved a lot more.
  344. OP could have made a killing if not for all of us nay-sayers.

    RA's analogy to earning announcement nails it.
  345. Nice. Today would've really been good, but nice trade.
  346. hah - thanks. hard to argue when you're all more expierenced than me, but i did my best. too bad to miss out on more of this pnl, but im glad i got some.

    if anyone else followed it.. things can get pretty hairy here... i'm envisioning october all over again. LOL.
  347. Oct '87?!
  348. OCTOBER 2013. the spread swung from -88 to 0.88 and back to -0.70
  349. he is teasing u :)
  350. Just cuz I like youse guys, and I've executed the trade already :p here's a suggestion: sell the Dec 16/15 puts. Do it for the natural at .20 if you can't get the mid at .25.
    Found money. SOQ tomorrow isn't coming in under 15.75 in any scenario I can think of. Fed isn't saying anything until 2PM, so if there's a vol crush after it's not starting til then, I would think.
    Only did ten of these myself, by rolling up the 15s I sold, which went to .025 today, to 16. I still treat the SOQ like a grenade with the pin pulled, don't like to do too much with it. But a small bonus is better than no bonus at all.
  351. why not a calendar?
  352. Cause I already had 10 15/14 Dec put spreads sold, so closing out the 15s and opening the 16s was easiest. Just a little jelly on the toast for tomorrow's breakfast, I hope.
  353. i closed all the feb mar spreads i had today between 0.96 and 1.00 (i was long the spread).

    i have no other positions at the moment.

    merry christmas all!
  354. Merry Christmas J
  355. its now year end, ive attached my strategy performance analysis (from IB) for the year in both daily and monthly form.

    ive made a lot of progress on my strategies this year that i'm happy with, but there is still room for improvement.

    i have a lot more to comment and say, but i've got to run out now and just wanted to update this fast. i will post again later.
  356. Impressive. what kind of $ amount range is your account 5, 6 or 7 figures..? also whats your holding period?
  357. ??
  358. sorry - 5 digits and i have a few different styles of trading in there that can trade within days or weeks. i hope to have this be 6 by year end
  359. Good enough. I think the way you are doing you should be at 6 figure pretty soon.
  360. for all that follow along here,

    what has been the biggest mistake that you've made trading vix?

    i think for me it was fear at first, trading something new and different.

    2) i used to pay too much attention to curve shape and ignoring other factors like time and levels of vol
  361. Hi Jgills. It's been awhile, I hope all is well.

    Are you still trading vix futures (post margin hike)?
  362. Hey Doobs yes i am. Ive been more focused in the first 3 spreads. What about you?

    And to my previous post since i couldnt edit it, figuring out sizing and defining my risk is another thing ive been working on... how of you estimate your risk of a simple long or short spread?
  363. A few mistakes:

    1 - Focusing on the front months too much. Working on spreading out the action to the further out months.
    2 - Tracking the realized vol of VIX. Or not tracking it, actually. I ran a bunch of tests on 2007 and 2008 to see if hedging using the front months as I do would have worked, and it wouldn't have, for the surprising reason that the VIX bounced around too much, so if you made a bunch in one month from hedging by being long the front, you'd lose it the next. So now, I'm tracking the volatility of the VIX and if it goes over its long term average, I'll be exiting altogether.
  364. have you tried including realized vol of spx in your indicator? i've looked briefly at levels of iv vs realized or vix vs realized to help determine exits or entries or to help me set better ratios
  365. Yep, I keep track of 10 and 21 day vol on the SPX. 21 day is closest to 30 calendar days. (365-104-10(or 9, this is the no of holidays) =251/12=21)

    But this isn't meant so much as an indicator as a kill switch. Having seen the wild swings VIX took in those years, trying to hedge via using the front months would just be a ticket to very high blood pressure and no real gain. Better to just stay on the sidelines.
  366. rally (or anyone else with some input),

    if you're around - i know you've said looking at data from 07 is pretty useless, but what do you think about 08? are using closing levels of vix futs at all a reliable proxy of where you could have executed a spread from say august to december 2008? what about 09? i'm just looking at a few things and am trying to figure out the reliability and std error of what i am seeing.
  367. are you looking at EOD only?
  368. Yes
  369. yeah I would worry about that to...
  370. 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.
  371. 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)
  372. 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.

  373. so rally then its safe to ass ume 200 spreads will not even give the curve a hicuup? lol
  374. 200? :D

    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.
  375. hey man, those days are not gone for good....i know u know that.
  376. 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?
  377. 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
  378. it's a nightmare
  379. [​IMG]

    made it through the invert.. nothing like your broker doubling your margin req ... You know i think even if i was up on the trade a few hundo , Ib might have liqudated me anyway with what i had left in my account due to the margin increase.. imagine that.. Your up in a trade and they liquidate you..

  380. A few years back the spreads were a few hundred in initial req. Unreal.
  381. h/j is 4875.00 right now .... insane..
  382. IB is saving you from yourself!

  383. Touche.. Touche.. haha. That is the truth..
  384. to those of you using advantage futures, what are the differences between CQG and CTS? which would you recommend to someone mainly trading in vix futures / spreads?

    my account is not yet large enough to be willing to pay the $625 for Trading Technologies (TT) but i NEED to move from IB after seeing how margin inefficient they are.. they still haven't adjusted margins down since last week and my initial margin is 45% higher than current initial margin exchange requirements.
  385. to those who care, most of my indicators are showing march being pretty rich relative to the rest of the curve at current levels.

    as of the time of posting the mar/apr spread is approx 65.. i am long some of this here.
  386. i stopped this out tight at 58.

    this year has been pretty dismal for me.. i had a drawdown which peaked around 6.5-7% at month end, made it all back and more recently. gave some of it back and am sitting around +1.3% on year. i hope some of you are fairing better.
  387. curve micro structure may possibly be changing or has already! i'd suggest u refrain from long front spreads..as a rule.
  388. 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
  389. 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)

    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
  390. 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.
  391. Anybody still trading this stuff?
  392. 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.
  393. It will take some serious vol to drive June Vix higher
  394. 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?
  395. 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.
  396. O.k. ,cool, Thanks for answering my question.
  397. 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.
  398. honestly i've built my own tools / spreadsheets for doing the proper analysis on this stuff. i dont use much of IB's analytics for these spreads, i only use their execution tool.

    anyone still around? ive built up a little position in the sep/oct/nov fly (long wings) and am watching what happens next.
  399. Can anybody verify that optionstar still works with ibkr? Thanks.
  400. No, it does not.
  401. Sorry being new to this, for example say we find that Dec futures are trading at a discount to Nov's - would taking advantage of this mean short nov/long dev - so like a long calendar so to speak? Though I (think) understand its unlike option calendars, since the term structure can invert and you could lose more than the debit

    Would starting with studying how news and large price moves affect the term structure be a good starting point in learning how to trade these VIX switches?
  402. that is a fine way to take advantage if you think one future is cheap vs another. yes, the term structure can invert and you can lose a lot. a good start would be reading the vix white paper and about variance swaps.

    quick re-cap on the trade i had done, i took some pnl on the way lower in the sep/oct spread (covered 2 @ 69), but with the larger move down in the oct/nov spread the position is currently a net loser. i now have a ratio fly and will look to exit today.
  403. that position didn't work as expected. as others on here have mentioned before i should stop messing around in the front spread this close to expiry and this was a good way to get me to stop.
  404. Do any of you all trading vix with IB know of a workaround to see a chart with the actual native spread pricing? I have only been able to pull ones based on the synthetic spread so it is in 5 cent increments. I would like to get a little more detailed view or to see the depth at least. I was a little disappointed that it isn't offered.
  405. TT and CQG can chart spread at 1c increment.
  406. In a TWS watchlist, pull up the quote for VIX -> Combinations -> Futures Spreads (Directed) -> CFE, and select the calendar(s) you want. Then, e.g., right click -> Charts -> New Chart to chart it. When there is enough liquidity the NBBO will show the 1c spread you are looking for.
  407. I would love to be using one of those, but can't justify it currently. I have used CQG for a little while elsewhere and really liked it a lot. I have only done a demo with TT so no actual trading in it. It seemed very good also though.

    Hmm, I will give it another shot. I tried looking the other day during normal hours on the front spread, and the chart wouldn't even load in TWS for some reason. Once I did finally get a chart to load it was still in the 5c increments. It is kind of annoying how you can't view the native spread pricing on the mobile or web platform without already having a pending order.

    Thanks for the help and sorry to get a little off topic.

    I am in the Nov/Dec spread currently, waiting to see how things go this week.
  408. TT is better. CQG has the spread backward and not very user friendly. TT is more expensive tho.
  409. I think it is X_trader Pro that you can get through AMP futures for either $1,200/month or .50/trade. The second option might make more sense for me because I am not doing 2400 contracts a month, so that would obviously be significantly cheaper, unless there is some minimum.
  410. Things sure have livened up the past couple days that's for sure. Should have exited my spreads before close yesterday. Coulda, woulda, shoulda
  411. hello everyone, this thread has been inactive for a little bit and i thought i'd post to see how everyone is doing.. i'm still trading some vix things here and there but its been much lighter than previously. anyone out there making some money? i'm up small on the year in vix things - nothing to write home about.
  412. Hi Jgills. I started my own Journal thread as well on VX/VXX/VIX trades. Perhaps we could post in each other's journal opinions and thoughts on each other's trades and ideas and share trading ideas and get both journals humming.....

    Good Luck to you!
  413. Sure i will keep my eye on it. i probably won't be too active posting in here but i'll do my best. does anyone have any trades on or ideas here? first big moves in a long time. im watching some of the calendar spreads october and out.. added a short october and long nov spread EOD yday. i think it may be too early, but starting to get in small
  414. [​IMG]
  415. ToS platform really exaggerates the curve I think haha. Another snapshot shows a little flatter but still curving in front month.

  416. Are any of you all trading VIX spreads using IB? I just looked at the Feb/Mar spread on CFE and it says $880/800 for the margin requirement...IB is showing $5,301/4,241 for the spread...the next spread has an initial of like $8k. Wtf. I know I've mentioned this before on here awhile back, it is just shocking to see how much they jack up the margin requirements.

    Correction:Forgot sept isn't expired. So it is actually $1,881.
  417. IB sucks for keeping up with margin etc. its 2k to trade oct/nov spreads but 5.5k to trade nov dec spreads. lol.
  418. the trade i love as of right now is + oct / - nov and adjust whatever ratio's you've got to be net long or short vol as you please.
  419. Lol for real, it is crazy. I did the chat thing last night with IB asking how they come up with their requirement and the guy asked where you find the exchange margin requirements, and then said well our risk manager must think it is a particularly risky spread or something. Oh well.
  420. I was actually looking at doing that fly with a few -nov/+dec to a single long vol front spread. Things have moved quite a bit in the short vol one since I first started looking at that, but possibly still a play there.
  421. Sorry to ask but what is the reason for ratio-ing 2 spreads instead of doing a +1 oct/-2 nov/+1 dec butterfly?
  422. i hope some of you made some money on that!
  423. just a different way to express what you think is going to happen/hedge yourself

    I didn't lose any money if that counts lol. I was short some vol but closed out everything yesterday afternoon.
  424. Bought Jan/Feb at .14, not looking for a whole lot out of it. I feel like it's been quite a bit stronger than Feb/Mar. Anybody have any insight on why that might be the case?
  425. Sold at .20. Picked up a nickel after commission
  426. now that we have been in a different vol regime/spot regime than we have seen in a long time has anyone changed the trades they are doing? are most of the people that follow here systematic guys? if so, how have those strategies worked through this? i'm still mostly trading vix futures spreads and flies.

    for myself, its 70% system 30% discretion. i had some drawdown (nothing out of the ordinary) after the initial big move lower in SPX but i've made it back and im near account highs on the year (as of friday, we'll see how long that lasts).
  427. good questions. as you know, this is all i trade...in my experience when you have this type of vol and curve; its just too tough to trade with the whips, etc.

    what i have seen is "coming out of the vol" dislocations occur and that presents flies and spread trades that make up for all the waiting. no idea if we are getting near there or not..so still waiting.
  428. short nov/dec at -.02.

    If this moves against me like it is looking it might, I will close it out pretty quickly.
  429. Scratch that, out at .01. I'm at home sick with the flu, time to go back to sleep lol.

    With the vix falling below 20, I'm wondering if this is at least a short term bottom
  430. If you are trading spreads(60+ days out) outright when the curve is as flat as it has been for the past few weeks you are doing nothing but expressing a purely directional view on the ES. In which case it is better to just trade the vix futures outright or better yet use the ES. I see no reason to pay up in commissions or tie up more margin for the sake of just being in spreads. Wait for some steepening and then trade slope dislocations. Just my 2 cents.
  431. It seems that the "slope dislocations" you refer to could be driven by short term / panic order flow and provide good mean reversion opportunities appropriate to someone with a fee disadvantage. And perhaps these dislocations are more pronounced than in the ES. I know little about this product complex but have been trying to learn. Last Tuesday I considered a short vol ndj fly - was expecting a major bottom in the ES and therefore a change in the curve shape (U shaped back to R shaped/contango).

    Fact is I've no mathematical talent and no experience with term structure models or trading non directionally. As a result I've developed decent directional senses but fear I am barking up the wrong tree in trying to use the Vix term structure as a proxy for ES which as you point out is not efficient. And while I'd like to diversify I wonder about trying to compete in an area which seems to rely heavily on areas where I am weak.

    I've always looked to take the other side of panic/uninformed flow at prices away from value, and have run several capacity constrained short term directional futures strategies based on this concept. In the high frequencies and for a couple of ticks. Which has become progressively more difficult until I've gone from trading a few dozen times a day to a handful of times per week, and now at a fee disadvantage which rules out anything very short term/small expectancy.

    These bottoms which occur a couple of times per year could be traded as ES outrights, but I'm looking for extra convexity either in VIX spreads/flies or have also considered short strangles on European style index futures options. I've never carried futures overnight and have ingrained a mentality over years that my exposure is short term and if I'm wrong I can pay up a few ticks and get out nearly immediately. So it is extremely difficult for me mentally to deal with the change in risk profile of carrying overnight, and this goes over easier with me if it is spreads/flies in a different product complex. I wouldn't be carrying ES futures overnight for the last week, but a Vix fly or a vertical spread on VXX options is a different matter.

    While I don't expect anyone to give out edge I would be grateful for some guidance on whether I am even anywhere near asking the right questions.

    Where would I start to investigate whether there are situations where an accurate read of ES futures (next 3-10 days) could produce a better trade in the Vix complex...
  432. My question would be if you want to be short vol why the ndj fly as opposed to the long nov/dec in smaller size? Better yet, why not sell Nov outright in even smaller size? Not only is there no inherent edge in using the fly but you are also paying double the commission and double the haircut. In fact at certain times when the curve is most likely to shift up or down instead of change its shape/slope the edge is in the outrights as you cant capture that with spreads. The only reason to go the fly route given the current structure would be if you are seeing a dislocation in DEC. Which given the calendar would be very hard to justify.

    An accurate read of the SP term structure could produce a good trade in the VIX complex. An accurate read of the ES could produce a good trade in...well the ES :) In all seriousness, flat curves are very binary in my opinion and since i am not a directional guy i avoid them like the plague. I much rather wait for proper dislocations and do some replication(vol against delta/gamma, spot against implied or if you want to get fancy even sp vol against vx vol).

  433. lets talk "no direction" trades!
  434. I've started with the answer - calendar spreads and flies - classic case of "if the only tool you have is a hammer, everything looks like a nail". As you say, short Nov outright or even long ES would have been a superior trade.
    It seemed to be out of line with the adjacent months so a natural choice for the body of the fly. My thesis was that in panic conditions particular months may get out of line, capture with a spread or fly.
    I'm not yet familiar enough to know if it was a true dislocation, but even if it wasn't the trade would get some assistance from the decline in vol I was expecting.

    Thank you - this is along the lines of what I was looking for and has sparked some ideas. Of course that I struggle at this early stage means I likely won't be competitive, but I like to learn and more importantly challenge my inaccurate thinking. Plenty of lessons in how I have approached this.

    One weakness in thinking about vol replication is understanding why this would be a manual trade...why can the vix term structure to get considerably out of line with the price of replicating the vol in other products. I'd have thought this would be arbed out, which highlights a weakness in not knowing the limitations of algos being used. Must be related to knowledge which is difficult to program, not something which can be modeled exactly...sorry thinking out loud here. Thanks for your comments.
  435. It is being arbed and it doesn't get considerably out of line. Not anymore anyway. The party has been over for a while now. You should've seen the things going on in '07-'08 and some even as late as '12-'13. IMO, the few dislocations that still occur are largely due to capacity constraints. There is no fungible spot so any trader/shop worth a damn will cap their size at a certain level. No one would trade a 15 cent dislocation flat and end up holding 2000 flies. Then August 24th comes around and you give up 30 cents just in slippage and thats assuming you are offsetting against the trend. Try closing that much short vol into a spiking vix and tell me how the algos treat you when the market goes 10up.
  436. Nice discussion guys - thanks for sharing it out loud.

  437. rally,

    i think vix trading will end its 3 yr run of horrible..but i don't see trades like we did way back then reappearing. there will be new patterns to uncover.
  438. Thanks for this useful information.

    We both speak to someone who started his firm with the proceeds from that Vix craziness - some great stories.

  439. You are definitely right on that. Thanks for the advice! I am working on figuring out how to model the slope/term structure to figure out when the dislocation is occurring.
  440. This is one of the main things I am working with on the modeling is accounting for the months like December that are weaker and just in general figuring out what is a true dislocation and what isn't.
  441. Hey guys,

    Quick question that I have been curious on, I didn't know if any of you all might have an answer.

    Why is the CFE margin requirement for the 2nd spread (month 2/3) so much lower than the 3rd (3/4)? $890 vs $2,120. I am just curious whether they make the second spread lower so it is less costly to hedge a front spread position or if there is another reason? Seems like the 2nd spread would have a higher probability of a larger adverse move than the third.

    Anyways, just curious and wanted to see if anybody knew.

  442. OCC maths using liquidity, stress tests etc...i have made many calls to CFE, they seem as frustrated as traders are. still no clarity i seem to get.
  443. "In fact at certain times when the curve is most likely to shift up or down instead of change its shape/slope the edge is in the outrights as you cant capture that with spreads."

    Sometimes a single sentence, obvious to the participants in this discussion, is heplful to others and what keeps people coming here. Thanks.
  444. Thanks SIV, I thought it just seemed a bit odd.
  445. Crazy drop in the spot VIX, dropped to 12.80 right before the report then spiked right back up to 15+

  446. market makers widen their screen markets in the SPX through all the strikes, so the "mid market implied volatility" calculation used for VIX number got skewed lower
  447. Thank you again sir! I've been debating on putting something on towards the front (maybe dec/jan) expecting a little flattening of the front of the curve, but haven't acted yet. After seeing the fed's statement and that rates aren't going up for a very long time apparently, I think I am going to just sit on my hands.
  448. upload_2015-10-29_1-55-17.png

    Anybody else seeing crazy low vix margins through IB? I don't have any positions on that would be affecting this/causing a reduction.
  449. I am done with IB and voodoo margining. I want exchange margining, imo IB is not setup for spreaders.

  450. i recall this may have happened before (CFE margin communication error). i highly doubt IB just overnight switched to exchange margins...in any case..in the remote chance they did..it can revert back to whatever the freak they wanted on that particular day. (boy do i long for the days it was $600 and less across the board) for what its worth, at Advantage, i am showing 100% excess cash and i was using 90% the day before, lol...so i think its CFE.

    i'm sure Rally can chime in with more precise info.
  451. I know, that has been one of my biggest complaints is that it all seems really unpredictable. The exchange won't change anything, but IB will double their requirement all of a sudden. All I want is exchange margins and the ability to chart exchange based spreads properly :( lol.

    Haha yeah I'm not counting on that to be accurate, that's for sure. If you are showing that through Advantage also though I guess you are right on it being a CFE thing. I briefly got a little excited! It is surprisingly still showing it, so I guess nobody has caught it.
  452. Auto liquidation revenues must be down at Timber Hill. I see no issues through Advantage or RJO.
  453. Lmao. They fixed it late last night.
  454. end of another year. i hope everyone was able to survive. i was able to squeak out 19.5% this year (on capital, no adjustments for leverage etc), biggest drawdown 10% from the highs, 1.20 sharpe according to IB. we'll see what this year has ahead for us.
  455. vols really moving this past week. the trade i like here is - jul + aug - sep.

  456. If you're thinking of just calendars instead of flies, do you ever put on ratio calendars for hedging, like -5JUL/+6AUG, or straight calendars with some other hedge, like SPY?
  457. yeah you can do all sorts of things to play the surface how you want, i just try to keep this journal pretty simple and stick to vix futures.
  458. unwinding that here.. the fly was about -0.40 at that time, now its 0.05
  459. heres another one i like. + sep - oct + nov, i see the fly about 0.90 here. aiming for 0.50. i like this one a lot.. any thoughts?
  460. Fed meeting is late Sept after Sept expiry inside Oct... That's why I am figuring Oct is holding up
  461. well, it went way higher than where i put it on. up to about 1.3. i added a little bit around 1.1, but i'm unwinding the majority here around 0.72. too bad i was way too early.
  462. To bad nothing... Good trade.. everyone is always early in and early out...surprised you ratio on that one...
  463. What do you mean ratio? The ratio was
    1 sep -2oct +1 nov nothing funny there.
  464. Hi, nice journal you guys have going here. I dabble in vxx and some futures spreads, but am still relatively new to volatility products. I'm curious what your outlook is on jan/feb/march??

    If I was of the opinion of continued central bank accomodation, a Hillary victory and overall neutral/lower volatility, irrespective of the shape of the curve, I would then want to be +jan/-2 feb/+march, correct?? That is, if I don't want to take a position in anything prior to Dec contract.

    That said, I am -oct/+nov from .80, but I have options on that bring my 'cost' much higher, somewhere around 1.06. I trade/scalp around the options and vxx, adjusting my cost.
  465. What a move! I was being greedy and was aiming to hold Oct/Nov to 2.00. Ended up barely scratching at .91 (original long from .80 but hedges and such brought my cost to .90). It was trading 1.39 yesterday, oh well.

    I'm now +jan/-feb from .32 , its currently positive at .26 but I'll have a short hook on this and look for a reversal in the market.
  466. Here's one I like.. +mar -apt. Entered here around 0.90. Merry Christmas!
  467. these days have been pretty slow for me. im not messing around in spreads for now, but just some outright vix futures in the middle of the curve. has anyone been doing much?
  468. Yo, send me a bloom pls
  469. I'm long Oct outright ironically.. what else is there .. whole curve dumped down flat and low
  470. funny, I'm long sep. I've been trying to just trade it around for 20bp here and there.. maintaing a small long. much easier 20bp than spreads these days with a chance of a bigger win lol.
  471. Today I entered into some new positions, the opportunity I see is selling calendar spreads pretty much everywhere on the curve. I choose selling jun jul and aug sep. The jun jul is very small for me, but the aug sep I'm doing bigger.
  472. By selling you mean -/+
  473. By selling the calendar I mean selling the calendar. Buying shorter dated and selling longer dated
  474. I see. That's what I thought. Obviously you think the curve is over sold and steep .. time shall tell
  475. I think the aug sep is literally a no brainer. Do u think otherwise? Does anyone out there? I want to hear the case from the other side so I can try to see what I'm missing.
  476. This maddens me when people refer to selling a calendar spread as buying the front/selling the back. Maybe sometime during this century we'll get everyone on the same page (selling == sell front/buy back).

    I don't know about "literally a no brainer". Everyone sees the VIX trade and the last 2-3 weeks have been nothing but talking about how low the VIX is. I wanna see if everyone else gets blown out first, then I'll hop on.


    VIX is of course very low - but this isn't the lowest F3-F4 has been. If nothing significant happens in the next few months (it's definitely happened before) it's just going to end up painfully rolling down that steep curve.


    Where's the bid?
  477. While there is a chance we could have some type of market moving event, the fact that there are so many complaining about the low VIX makes me think there are a lot of people long volatility and haven't capitulated yet.

  478. jgills is correct

    he is shorting the spread..think of it this way

    right now aug sept is 101ish...he wants the price to go down...hence short the spread, in order for the spread to flatten, he is going long aug, short sept

    aug rises more than sept does...goes to 85, he makes great money

    short the spread by selling it

  479. sensible trade

    a/s is the dip in the curve..better chance for it to flatten or hump
  480. Dolemite and i960, the only thing you've talked about is an outright long/short Vix future position. I have a spread on, not an outright future. Unless I have it wrong, your reasoning for not liking the August sep calendar is that people are complaining Vol is low? Why are you ruling out the spread going down with Vol levels going lower? I actually think that is how I end up making money, even though I would much prefer it being from a Vol up event, because there is much more money to make on that side of it.
  481. This is some equity trader mumbo jumbo. Everyone trading spreads in every other futures based instrument quotes them as long == +front/-back, short == -front/+back. If I'm short the CL Z18/Z19 spread I am *short* Z18, long Z19. There is no way I am crazy about this.

    No, I'm specifically talking about the Aug/Sep spread as in the exchange traded VX Q7-U7 spread. That's not outright, it's a spread. Now, I think you have me wrong here. I absolutely like a long (meaning benefits from FLATTENING) spread position in the mid/back part of the curve as an idea. My point was that the "VIX is super low!" "VIX is super low!" talk has been going on for a couple of weeks now in the popular finance related media - so just who do you think is going to be piling into VXX, VX longs, and the like only to get fucked over? Additionally, if QU is really a trade that's a no brainer, the market surely must be stupid as fuck right now because there's not really any sign of the market buying that spread right now based on price action alone.

    I like the idea of the spread. I want to get long the spread. I want to see the market show it's hand first.
  482. The CFE direct feed for the natives has all spreads listed -front/+back so if you are bullish on vol you have to buy the near term i.e. sell the spread. Perhaps ask them to change it because it doesn't conform with your trader lingo :)

    Plenty of mumbo jumbo swirling around in my head but I've always been under the impression that buying the near term is a bull spread not long. You are bullish on the price of the commodity as the near term moves faster.
  483. You're absolutely right about this with regard to how CFE quotes the spreads directly as I just looked it up because I never use their quotes directly. My comment about "equity mumbo jumbo" was in regards to this spread quoting. It's also why @cdcaveman asked "-/+" because of the typical confusion when it comes to vol or equity index related spreads and FX spreads (which are also "reverse") vs pretty much everything else.

    I guess from now on I'll make it exceedingly clear what I mean by "long" or "short" a spread when it comes to anything VX. :banghead:
  484. Interactive Brokers reverses everything else as well and quotes -/+. You have to sell the oil, metals, etc. spreads if you want to be long the near term. My guess is they want the contango expressed as a positive number.
  485. I guess they simply borrowed the convention from option calendar spreads where a short calendar is +short term/-long term, that is the way I carried over the lingo but in the end as long as the order goes through as I want it with the right short/long legs, they can call it a Beyonce Spread :)
  486. In options world, you sell if you receive premium and you buy if you pay it.

    This applies to risk reversals, calendars, diagonals, whatever.
  487. But if you sell a calendar in options you are long the front month which results in a net credit (selling longer term option) so we are saying the same thing I think and it carried over for some in the VX switches. I tend to say short the calendar when I am short the front/closer month. Either way it is just semantics as long as the order is entered correctly :)
  488. Long and short generally mean if it was put on for a debit or a credit. The canonical calendar spread is long the far month and short the close month. Those are always for a debit, therefore it's a long.
  489. Pretty long discussion on which way to say it. For sake of simplicity, why don't we just put -jul/+aug or something when listing the positions or if not just quickly ask if you want to clarify something and move on with the discussion to something pertaining to the actual position.

    With that being said, I kind of like the position @Jgills, looks like it is moving in your favor a bit today
  490. good timing... just hoping we actually get some vol here.. would love 20+
  491. Yah today was a good day, lets put the naming conventions behind us and stick to the trades and ideas. Still have some aug sep on and took off the jun jul. Wasn't really expecting this but happy it happened
  492. does anyone have the latest trade ideas/research papers in the VIX space? I'm looking to see what is currently out there. thanks in advance :)
  493. What are everyone’s thoughts at this point?

    I think mid term futures are too low for what’s going on. I wouldn’t touch feb Vix at this point. I think spx gamma is way too low with 1w straddle around $59. I can keep going but I want to hear others before biasing anything.

    Also, I hope no one following me has blown up.
  494. I made it through... make sure to take note of the feb 6th margin update