I am happy to post my trades. ... and I apprechiate feedback. Currently I have: -4 C15/3 1.18 (settlement value) 2 C13/3 2.87 2 C15/4 1.54 10 P10/3 0.04 -2 P12/3 0.33 That's it.
ktm I agree with you. Volume in futures is poor. But there is good volume on options. VIX reached the top 20 volume ranking yesterday (#1 Qs). Should be sufficient! See the top 200 at ivolatility.com
Wide swings on VIX they translate about 50% into the VIX March future 25% into the VIX April future in absolute points
Current positions: -4 C15/3 4.66 (+294% change vs. 1.18) 2 C13/3 6.65 (+131% gain vs. 2.87) 2 C15/4 4.72 (+206% gain vs. 1.54) 10 P10/3 0.028 (-30% vs. 0.04) -2 P12/3 bought back for 0.10 (0.33) -------------------------------------------------- Closed position P/L calculation P12/3 (Put Strike 12 March) 2*$33=$66 2*$10=$20 Gain $44 Commission 2*$1.5=$3 Net Gain $41
-4 C15/3 .74 2 C13/3 1.40 2 C15/4 1.22 10 P10/3 .02 Delta C15/4 - C15/3 = .48 (Timespread) Delta C13/3 - C15/3 = .66 (Strikespread)
Based on historical data of the last 10 days there is following possible system for the VIX: Enter when wave reached a length of .5 Trail .5 on grid no Profit Target Potential Profit 24 (no gaps)
VIX options implied volatility is very high. Puts have a much higher IV than calls. Stikes 15, 16, 17, 18 April (Call IV/Put IV) 56/118, 71/123, 72/129, 80/135 http://www.ivolatility.com/options.j?ticker=vix&R=0
I more and more get the impression, that writing naked puts is a good strategy for the VIX. If money management is applied it could work very well. Any thought about that strategy from your side?