Controlling Vega daily with minimal cost

[Atikon]

I dont understand why you are "daytrading" the Vix as a hedge while exposing yourself to overnight risk and gaps..Find it hard to believe you arent giving up any "edge" on slippage/bid offer spread..Are you really that concerned with intraday vol pops on a limited risk strategy??

Ild be far more concerned with gap openings and letting your delta/gamma getting away from you....

Am I missing something?






you are

Who said I'm exposing myself to evernight SPX Risk? I said I'm daytrading SPX. The whole Point of this Thread is to find a cheap way of eliminating Vega.

 

[ffs1001]

Example yesterday Unemployment Numbers came out, Option Prices doubled even thoug the SPX didn't budge.

Interesting. The chart of the VIX for Thurs shows a 2 point rise which I assume was around the time that the announcement came out. Without knowing the details of your trade, I assume you had a wide iron condor, and this little jump - which is a pretty normal variation of the VIX in a day - caused a temp jump in your short strikes, and triggered your stops.

And if the credit received for each leg of the IC was a low number like say 2 or 3, then all it takes is a little widening of the spread and the stops get hit.

Not sure what type of vega hedging can help with a 2 point rise in the VIX like this.
Buying a VIX call, even a weekly one, won't work as that will not move enough for a small rise in the VIX like this.

In Mar and Apr, I traded a lot of SPX fly's and IC's so I'm genuinely curious about your situation.

 

[taowave]

Your initial post is a little confusing.I get that you are trading IF/IC.Im assuming you are holding them..You say you are hedging the Vega risk with VIX calls and sell before the bell.Im assuming you mean your VIX hedge. So you are day trading VIX(not holding overnight),and exposing yourself to overnight risk??

Now it appears you are day trading SPX?? Im assuming as a delta hedge,which makes sense?? But not carrying the SPX overnight?? If you blow out of your hedge,do you flatten Deltas??

I think you are over complicating these type of trades and missing the forest thru the trees..
If vol blows up( intraday) and I have done a good job managing my delta /gamma,Im putting more on...

If you are that concerned with Vega,roll your longs out..

Who said I'm exposing myself to evernight SPX Risk? I said I'm daytrading SPX. The whole Point of this Thread is to find a cheap way of eliminating Vega.

Hi Guys,

I've been trading Income Strategies on SPX (Iron Fly/Iron Condor) daily while hedging the Vega risk via VIX Calls. I usually sell before the bell. I have a couple of questions:

- When is the best Time to buy and Sell Vix Calls through the day. You guys who collect data may have a database and looked into it before/did an analysis already. So far I haven't lost money buying around 10am and selling during the last hour of the day. Unfort. I don't have the data to backtest the it's best to buy and sell at.

- On Mondays and Tuesdays I usually go for the VIX Weekly and on the Rest of the Week I go with the 6 Month VIX Call. I'm considering buying the 6 Month daily, as Theta isn't an Issue with the 6 Month Contract. Been a bit worried about Gamma since it's quite low on the 6 Month.

Maybe you guys have suggestions, what could be improved and how to protect my P/L while still handling Theta.

Atikon

 

[.sigma]

@Atikon killin it lately with these questions, all great stuff. I'll contrive my post soonn!