Search results

Smallest VIX cycle by range & VIX complex RV has been nowhere over the past 2 cycles, too... I'm sitting on decent profits from SVXY short structures (mostly Jan)...but looking at current VIX Dec / Jan @ low 13s-14s...there could be some decent premo burn, if spooz continues to grind in the...

Long vol has been a 'BDSM' trade of YTD...mainly due to weeks of premo bleed (even with decent entry) for a quick, sometimes even intra-day, opportunity to close out... For me, it has required extreme active managing of positions & opportunistic timing; via synthetics... In my 'active'...

I don't throw darts at a board. I bet on sure things.

VIX not too impressive, clear IV bid up as SPY -0.11% and VXX +3.52%. Typically presents a shorting opportunity, especially if it's more news related. Shorting M1 vs M2 @0.4 could have been a decent trade, with 0.6 'leash' for stop. As I've previously mentioned a 'historically probable' vol...

Something to remember...

Think about it...M8 goes as much down as M1, with 220+ days to go...who cares about the front - seems like shorting the back is the way to go :) 03/20 to 03/23: VIX +1.78 Apr +1.1 Nov +0.34 03/23 to 04/05 (intra-day): VIX -2.22 Apr -1.43 Nov -1.39 03/20 to 04/05 Apr vs Nov: Apr 14.14 - 13.1 =...

bought some /VX May. I've considered doing some bear spread on SVXY for the opex 2 months from now, especially if we get the vol fader into vixpiration and it gets close to ATH. The overall cost of M2 for VIX ETPs is extremely low, not much safety room for inverse after the roll. By the way -...

Flat, cheap curve is the main reason without a question. I'm sorry, what do you mean by 'day count correction'? I use historical data for each /VX contract from 120 trading days until settlement. I think, that it gives a much clearer picture (for expensiveness/cheapness) for each contract...

I've hear there is an arb VX/VSTOXX trade right now, which puts additional buying pressure on the front. Anyways, here is the small graphic for the synthetic /VX prices, which are based on trading days left. I've pulled it in the morning, so it didn't include today's spike into EOD. First, I...

Shorting VIX has been a hugely successful trade post-crisis, because of a general belief that real volatility will always be absorbed by the state, so there is no real risk associated with collecting premiums from selling short-term volatility. A lack of willingness to sell vega longer term on...

Thanks for the detailed analysis. I believe that the entry into this position, relative to the ratio of M1/M2 that VXX holds, is an important factor. Not to say the premium paid/received, but it's another story. In which scenario we would realize the max loss? When the VIX settles at lowest...

Yes, indeed. I will look more at the pricing, but overall it looks as low risk and high probability. I've tried to focus on "what's the worst that could happen", which would be: 1) VXX put OTM; 2) VIX put ITM...and this would only happen, if M1 and M2 go in opposite directions (down/up) @ the...

and car loan defaults are at ATH

I have also looked to employ the CoT report and long/short volume for the VIX complex. It would be nice to get some actual numbers on any "predictive"/influencing capabilities of this info on price...

As April is almost flat with May (0.29 M2-M1);

Both ideas are great, thank you for your input! Some back-ratio could work, but it is dependent on many factors. I feel like 'legging-in' would make sense. Also, I could speculate, that the further months could present some better opportunities, for a longer time-frame. As of short VIX put...

Would do certainly better, than the purchase of VX futures / OTM VIX calls / etc, on a constant basis over the past 4 years or so. :) I'd say execution is everything, and overall VIX settlement levels could provide a hint on the "sure" loss potential. High price + High DTE on front month could...

That's pretty much my point. :)

As I've said in the example above, it depends on the /VX Month and DTE, plus the price you've sold it at. It just seems, that people want to be "rewarded @100%" with the correct timing of VIX spike; thus, suggest using long calls and paying premium for them. Well, timing a VIX spike is foolish...

A +5p jump in /VX brings a 0.6 delta put down to 0.00 for M1. P.S. I am really not sure, what could be better, than seeing 12P @0.7bid with 20 trading days to go. You are covered up to 11.3 settlement, in worst case scenario.