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That's amazing you were able to make a profit that way - I congratulate you on your nimble mouse-hand! Not much room for error on that one.

In your proposed strategy you would be buying premium at about 47.4% and selling it at about 46%. That's a poor way to put the odds in your favor. I would look for ways to buy premium cheaper, and sell it higher. Let the skew work in your favor, not against you.

This is really surprising. Option premium collapsed completely - yet the stock was minimally affected. Somehow the anticipation was priced into the options, but not into the stock. I have to tip my hat to magicz on his info - he predicted the stock would not go down much on so-so results...

Well, in bullish 2007 the VIX was mostly dragging along the "hard bottom" of 10%. So I think that distorted the relationship somewhat, as the VIX was not "free" to drop more as the S&P500 went up.

What the VIX measures DIRECTLY is the demand for options on the S&P 500 vs the supply of those options. In the most true sense, the VIX measures the "price" of those options. If demand for stocks in the S&P 500 rises relative to the supply of those stocks, what happens? The price of those...

By number (3) I take it you mean that you can trade the US markets in the evening (Europe time)?

Another possibility that has not been mentioned is the S&P500 "big" traded at the CME. It's 5 times the size of the ES and 25 times the size of the SPY, so that would keep your transaction costs down. It's also pit traded, in a futures options pit (which is what I'm used to), so the comments...

Here's the daily chart of the ES vs VIX...

Here's the one-minute chart of the ES vs the VIX...

Big drops end with panic, capitulation. In the S&P we have a beautifully handy panic indicator, the VIX. When it spikes up, that indicates panic. When it goes up only grudgingly on a big drop, that’s complacency. And complacency is like dry tinder – explosive potential. I’ve studied...

Great information Dr Sean, thanks. I think the SPY is a good idea for the Dutchman. Great liquidity, penny spreads in many options, and you get to sit in front of your screen and see exactly what you're doing and not have to deal with those scumbags on the floor. With an IB or TOS platform...

Again I can only answer based on my experience in T-bond options, but perhaps some of that is true on the CBOE floor as well. You definitely want to put all legs into each spread order, and execute it as a single spread. You're giving up the edge with each order, so why would you want to do...

It's not clear to me from this whether you have to go through their desk, or if you can talk directly with the broker in the pit. I would talk to them and find out exactly how it works. Maybe someone with CBOE floor experience could chime in here. As for fast markets - that's a concern. On...

Right. I don't know what the rules are at the CBOE, but at the CBOT I talk on the phone with a broker standing in the pit right next to the locals. It's almost like carrying on a direct conversation with them.

To expand on the above: have you ever been to an auction where the auctioneer begins the bidding on an item at, say, $100 and there's absolutely no interest? Often, the auctioneer will lower the opening to bid to, say, $10. Somebody will say sure, hell, I'll pay ten bucks for it. Then...

Your order will probably be filled fairly given what's going on in the pit at that moment. The problem is that you're far removed from that action (compared to the electronic), so you don't have direct contact. The way around that of course is to put in limit orders. To me, the advantage of...

Knowing probability theory and financial modeling certainly doesn't hurt. But in the overall scheme of things it's a small factor in whether or not you become a successful trader. Remember that Myron Scholes of Black/Scholes fame - and a Nobel prize winner - almost brought down the financial...

A few weeks ago in fact I opened an IB account - one of the reasons was to get access to "obscure" things like vix futures. I'm still getting comfortable with their platform - not exactly warm and fuzzy, but very powerful. I've found their charting to be pretty hostile - but maybe I should...

Beautiful. Thank you very much! I pay some $200 a month to DTN IQFEED for data and they don't provide VIX futures!

I agree that if you wait for this to happen you'll miss most bottoms. But on those rare occasions when we approach major, major support (as we have on the ES at around the 1250 level), the relationship between the VIX cash and VIX futures is worth looking at. I've gone back and taken a...