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This is my trading journal for VIX Futures. I will post real trades in real time (small size). Looking for any guidance or helpful critique. I am willing to absorb considerable variance if the trade has edge and good R/R.

Yes, I think we both agree. But I don't know what traders do when they manage a book across securities.

I think he's referring to underlying(s) plural. Might be tricky to aggregate deltas from different securities. Make sense to me, but I'm not an expert.

Rally, is trading seasonality a reasonable way to start dabbling in VIX? Or should I really make sure that I understand all the product fundamentals first? Ie, Short F + Long Z and hold/evaluate in 30 days? My logic is that most of the trading volume and attention is on N/M so wouldn’t it be...

Ah ok - thanks Rally. I’m new to this and haven’t done all my homework around past data yet. Thanks for your patience.

Take a look at VIQ future for that kink (not huge but it’s there). Also take a look at VIZ although volume is obviously much lighter.

Ya, I figured the last few days backwardation was due to China concerns but I couldn’t figure out the other anomalies...

Does anyone know the reason for the current shape of the VIX term structure? I’m specifically referring to the kink in August futures and separately the negative slope in the back months...

Yes, I hold shares so interested in seeing what the options imply.

Hey TBS, are you doing anything on CI later this week? If so, how would you play it? Release is on Thursday before the open.

Thank you for this. I actually feel that I have an edge based on my bias for the day (up/down). But I am weak on establishing entry/exit and stop loss. I am just observing the volume patterns and how it correlates to the magnitude of up/down movement. But I am doing this by eye, not yet...

Would it be helpful to observe the relative rate of change between the futures and xyz and then model this on relative volume also?

I feel like there is some reflexivity here - at least for the massive order spikes that I see in the ES from time to time. Also, early day and late day trading volume in ES seem to have some kind of “pattern” to it. I haven’t yet figured out what that is or if it’s in my head. Seems real.

What proportion of the intraday volume is legitimate buying/selling? (Whether by bots or not?) Does anybody know? Wouldn’t real buying/selling have an even bigger price effect as the proportion of bots increases? Just guessing here...I’m no expert on microstructure.

I cannot refute what you are saying. However, I don’t agree with it. There are many traders who have EOD exit parameters. If my exit parameters are fluid but based on a theory and estimate, isn’t that an exist strategy? Why do specific parameters of a trading plan have to be numerically rigid?

With regards to MAE / MFE debate, perhaps they can be used as an input for what I am trying to measure. But on its own, it seems incomplete. What I’m trying to do is “handicap” a trade and then subsequently measure how well I’ve done (over time). So I need a way of estimating (1) the odds of...

Why do you believe this to be the case?

I was looking for a way to score my decision making process, this makes sense to me. Regarding edge...I really struggle with the definition. Trading strikes me as a series of educated guesses within a complexe and changing system. For some reason, I can understand Soros when he describes the...

Yes exactly - I’m always flat by end of day.

Hello everyone, noob trader here. Learning the ropes by observing intraday prices and making macro calls on a paper trading account. I would appreciate some help with a couple of technical questions... FYI - I am paper trading the ES-mini only with 2-5 average trades/day. 1 - I always have a...