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INDU/DJX 5 years 1000/10 point grid. The trend is up. Possible system is S2x1 Last signal long surpassing 10.000 Trailing stop is currently at 11.000

05/18/07 +9.3% I was careful today and that payed off.

Thank you sellvol! What I am doing is very similar to selling a straddle on SPX. The only difference is that the VIX can't go to zero nor it can go to infinity. That mean reverting makes the unique value for the VIX options. In addition: Where do you have 70+ volatility on an...

05/17/07 +13.5%

Attached my analysis for the VIX calls. For me the Call July 16 looks attractive to be sold with a stop in place. C 16/7 1.35 possible stop loss 2.50 (depending on individual setting) Example for selling 1 contract: Get $135 by selling (before commission) Pay $250 (if no slippage...

Attached I've posted a sheet to show how I evaluate VIX puts. From that analysis (for me) the VIX Put July 13 seems to be attractive.

artes The method for me is to write options on VIX with the best expected performance to expiration and positive account management. The system is to write Puts every month and compound the gains. In addition I decided to write Calls every month and compound the gains. Since the VIX...

Attached graphics shows how the VIX vola (historical 30 days and implied) has chanced over a year. Upper band 125+ Lower band 75- Interesting to see is also the pick up in volume. VIX options are very good tradable in my experience (other than VIX futures, yet).

Yesterday I decided to write another 2 Call options. VIX JUN07 17 C (100) 2007-05-17 -2 0.6500 Received Money $130.00 -$1.50 commission ----------------------------------------------------------------------------- 05/17/07 Settlement values C17/6 -128.06 C16/6 -153.05 P13/6...

The serial correlation of absolute cl to cl changes, - I call them absolute daily velocity (ADV) - , is bigger than the changes incorporating the (-) sign. Serial correlations as of yesterday for 65 measure points: Leg 1 -9.8% (vs -2.9%) Leg 2 -16.9% (vs +10.8%) That means that after...

05/16/07 -40.3% I underestimated the potential of the DOW to go up. My forecast of the vola has been lower based on statistics. The loss shows me that I have to take more care about that feature. Therefore I decided to improve my system by adding a vola related forecasts. DOW vola...

The VIX future is not yet very liquid. I am thinking to use the future as a protection against upmoves. But at the moment a stop loss in the call might be better...

VIX closed at 14.01 VIX future June closed at 14.15

VIX options are in the top list of ivolatility.com

The vola of the VIX is very high. In addition the volume is daily volume picking up. The mean IV is 73.8% IV Call 16 June is 91.7% ! IV Put 13 June is 54.3% I comparision DIA 10.2% SPX 13.2% Qs 15.6% IWM 19.7% AAPL 27.4% http://www.ivolatility.com/options.j?ticker=vix&R=0

Yesterday's settlement values of the open position have been ca. Calls $-93 Puts $-171 Details VIXFQ 2007-06-20 VIX JUN07 16 C -2 0.857736 100 -171.55 VIXRO 2007-06-20 VIX JUN07 13 P -2 0.46918 100 -93.84

Sold 2 VIX Calls on 05/14/07 VIX JUN07 16 C (100) 2007-05-14 -2 0.9500 190.00 Premium -1.50 Commissions It's a dangerous think, because Vola can spike up massively. Account can be wiped out at a bigger downmove of the markets.

Graphics attached

Possible systems for the FDAX 1 day on the 2 point grid DAX2_2 S282 S373 7x4, 7x5 8x7

Possible systems on FDAX 2days 5 point grid [b]DAX5_2 S2_10_2 S6_12_3 4x4[b] For the S6_12_3 system there is a triggered signal at 7515 (+1 tick) and a trailing stop at 7500 (-1 tick).