even after 10 plus years of doing these exclusively; i'm still coming to terms with thinking a spread too much as if they rebound like an equity when the market reverses. you name any multi day vol spike that a mid curve short vol spread is not flatter even if the index is well off its highs and i'm buying u dinner. at the same time its hard to close the shit up on the first initial spike cause u are wrongly conditioned to think it will "recover". same goes for long vol of course. obviously i'm still working on scaling in and out on spikes smarter lol.
sorry i meant the algos not goldman. i know you know this and were joking but i meant the bots are way to stupid to start a crash and they wouldnt last long if it happened because they can't afford it so quickly get turned off and stop market making. only the very best bots in conneticut could afford a 7bn usd drawdown most people lost shit loads. the only people who made money were probably the idiot who put in the order and them.
it's not over but same as always lol. went in with long vol front flies (typical carry on low vol); then did loads and loads of short vol from march after what i thought was a good smack down only to see it just shift a large amount more inverted from my entry. same old me, now looking for 15-17 vix to hold for a few days.
i love this. or..everyone was piling into equity etfs all year with the trump tax thing and the long gamma from these was being offloaded onto all the banks so the equity desks were very long low delta downside puts which hadn't been doing great until then. agree the hedgefunds had been smoking for sure the biggest trade they had on was short outright vix calls or bitcoin and the inverse etf's were also short topside obviously which didn't help. just saying possible alternative explanation to the vix spx pump and dump scheme but i know that goes on a lot.
for the most part i do everything inside the vx term structure, although sometimes i will go with the ES for hedging. long vol in front spreads trying to structure a fly to earn regardless of vol, then short vol in the middle curve if it seems there is edge via a spread or fly. when shit hits the fan, i will fade via selling one future, buying the next via an exchange spread but as i pointed out previously; i'm always early. you can never know if 12 vix runs to 17, then back to 14, or in this case 12 to mid 20's, then retouch again and again mid 20's...this is what inverts the curve more and more..and i fade it more and more while holding the long vol fronts hoping their sensitivity can increase and help offset the short vol. pretty basic.