Search results

@Matt_ORATS I was wondering if you had the chance to run your analysis on the last strategy presented here: https://tradingmatex.com/diagonal-strategies/ The strategy is presented as bullish play but has a protection for at least a 12% drop in the underlying. Given the Vega flips to negative...

I personally haven't traded these strategies before mostly because I haven't read much material or seen examples beyond simple calendar spreads. And since I never liked the normal calendar spreads I have always focused my attention to simple strategies like vertical spreads. But good to know...

Hi Matt, Interesting analysis. Can you do the same for the last strategy of the article, i.e. the one they consider as bullish play? It would be interesting to see the conclusions.

Yes sorry I was referring to the last strategy they show under the section "an example for the upside". It's true that during a bullish market the strategy underperforms because they are not always fully invested but in risk-adjusted terms should be better. But those results are based on trading...

They seem to treat this as bullish play and that's reflected in the higher profit area and closer break even point on the upside.

Very good point on the weighted vega. But the strategy is short vega on the front month, so the weighted vega of the strategy would be lower than what shown there, which is better for the strategy anyway.

Eyeballing the plots, the estimated payoff over a reasonable +/- 12% range for the underlying over the next 1 month would have a max profit of 1250 and max loss of 200. But if volatility goes down a lot, the whole estimated payoff will go down as well. If you are in low volatility it is...

The example there is on EuroStoxx options hence very liquid and typically ATM or OTM strikes. I can imagine that on MES/MNQ would get even better liquidity.

I came across this article showing few diagonal combinations with very attractive risk profiles. I think these might be profitable strategies but I wanted to start a conversation about the best way to manage them. For example, if the market does not move for a long period, the strategy payoff...

Yeah I think it's the conclusion they draw in the article as well. Good conditions for the strategy are VIX below 20 and VIX/VXV below 1.1

Hi, there is a second article on this topic, giving a bit more information about how to setup the trade to increase the probability of profit https://tradingmatex.com/vxx-trading-based-on-fundamentals/

This article explains quite well the way leveraged ETFs work. Interesing to see how the daily rebalancing is actually very beneficial for some strategies. https://tradingmatex.com/leveraged-etfs/

This is an article that shows how to use risk metrics like Value at Risk and Expected Shortfall to decide how to allocate the trading capital across various markets: https://tradingmatex.com/risk-based-allocation/

Hi, what is the code for the micro future on NIKKEI? I can't find it on Interactive Brokers. Thanks.

Added today on interactive brokers. Strikes 6-10 (2x) and 17-18 (1x) on May expiry. No risk on the upside. Breakeven on the downside is about 25% from current levels (around 9$). Max profit is 1/3 of the max risk.

I think this is a strategy to place when VIX is relatively low and that'salso what the author says, although there is no magic number to say that VIX is low enough to play this strategy safe.

Yeah that's a good point. If spreads are similar then it is definitely a possible alternative. I will give it a go with VXX first and maybe run one in paper trading for UVXY. But I like the fact that it's a strategy that requires very low maintenance.

Hi, I posted this in the ETF section but maybe it is better to discuss this strategy here since it involves options. This strategy seems to make sense and indeed quite low risk unless very big unanticipated drops in VIX. So maybe we should just avoid that when VIX is above 40? Any opinion...

It just uses 2 spreads, not really difficult to be honest. But yes, you need to understand options a bit.

Interesting article showing a simple and low risk strategy for VXX https://tradingmatex.com/low-risk-vxx-options-strategies/