VIXFQ 2007-06-20 VIX JUN07 16 C -2 0.729577 100 -145.92 VIXFR 2007-06-20 VIX JUN07 17 C -2 0.605054 100 -121.01 VIXRO 2007-06-20 VIX JUN07 13 P -2 0.538244 100 -107.65 Total -374.58
artes 56 is a great vola. Nearly no stock or index can top it. Therefore commissions become relatively small.
Transactions made yesterday 05/21/07 -2 P13/7 0.75 $150-1.5=$148.5 I've got $148.5 for that trade (after commission of $1.5) +4 C16/8 1.55 $-620-4.0-6.9=$-630.9 I had to pay $630.90 for that trade, because there have been commission of $4.0 (4*$1 and cancellation fees of $6.9). Motivation for that transactions was to bring the Vix portfolio into a balance and protect against a rising Vix. Since the Vix August future is slower than the Vix June Future it's not a 100% hedge. I have choosen the August vs. the July because the 'term structure' gives better values for the August-July than for the July-June. ---------------------------------------------------------------------------------- Settlement values of all positions. Total required margin ca. $1300. VIXFQ 2007-06-20 VIX JUN07 16 C -2 0.576465 100 -115.29 VIXFR 2007-06-20 VIX JUN07 17 C -2 0.441417 100 -88.28 VIXHQ 2007-08-22 VIX AUG07 16 C 4 1.376321 100 550.53 VIXRO 2007-06-20 VIX JUN07 13 P -2 0.575967 100 -115.19 VIXSO 2007-07-18 VIX JUL07 13 P -2 0.762391 100 -152.48 Total 79.29 I would get 79.29 minus spread minus commissions, if I'd decide to close the portfolio. A last remark about the bought Calls C16/8 I payed $620 and according settlement values I'd only get $550.53 (before commissions/spread). That's an immediate loss of 11.2% ($69.47).
Yes, VX future not spot the VIX index, is an expected value for the 16th of each month expiration for each fiuture contract. One month can move and the other not, or reverse. To edge, it will be to the same month. But the the covering position in more quantity. Because the delta and the slippage... sell 3 against 5 f.ex. Initiate the two legs separatly, at the best price. Cover-buy the short before closing the long covering position. During all the month, Keep the covering position as a garantee. If its possible, Trade actively the short position, like to offset the cost of the other leg. Close all 6/8 days before expiration at the best price. Again and again. I hope this will help
I am back looking at the VIX Based on 4 years observation there are two systems (2 point grid) Up 1x1 4/25 Dn S121 3/25; 2x1 8/14 In general (bidirectional total/trades) 2x1 10/26; 3x2 21/20; 3x3 18/10 That's shorting moves at 4 and 6 points with 2, 4, 6 points profit target.
Different level of implied volatility since end of February from avg. ca. 11 to ca. 14 Weak systems on 1 point grid over one year S1x1 8/60 4x2 5/11 Switch has to be taken into consideration and direction Up/Dn hast to be taken into consideration.