Crash Monday? SVB contagion, VIX spike

Overnight · Mar 17, 2023

destriero said:
25 beeps next week; short VX/short ES, 3x1.

That is curious. You are expecting the VIX to drop so via futures you are shorting VX, but also shorting the ES? Why would you not do a short 3 VX/Long 1 ES? And even better, what about a NVIX short/long NQ, since it has been doing well on the whispers of a fed pause?

(Granted, I have never looked at the NVIX futures, don't know it's volume or PA.)

destriero · Mar 17, 2023

Overnight said:
That is curious. You are expecting the VIX to drop so via futures you are shorting VX, but also shorting the ES? Why would you not do a short 3 VX/Long 1 ES? And even better, what about a NVIX short/long NQ, since it has been doing well on the whispers of a fed pause?

(Granted, I have never looked at the NVIX futures, don't know it's volume or PA.)

NVIX trades by appt.

Modeling 25 raise -> ostensibly neutral to bullish -> SPX up 50? -> VIX down 150-200 beeps.

Overnight · Mar 17, 2023

destriero said:
...

Modeling 25 raise -> ostensibly neutral to bullish -> SPX up 50? -> VIX down 150-200 beeps.

Right. So if SPX is neutral to bullish by a guesstimate of 50, why do a short 3 VX/short 1 ES? What am I missing here?

destriero · Mar 17, 2023

Overnight said:
Right. So if SPX is neutral to bullish by a guesstimate of 50, why do a short 3 VX/short 1 ES? What am I missing here?

Time as synthetic vol. Street assigns a figure in realized vol on the meeting -> volatility trades (-)volcorr to index price -> mkt rallies on Fed -> VX drops 200 beeps -> index drops 1SD on Fed -> VX flat to up small, ES short outperforms. Modeling optimal entry exactly 24h before rate decision.

Overnight · Mar 17, 2023

destriero said:
Time as synthetic vol. Street assigns a figure in realized vol on the meeting -> volatility trades (-)volcorr to index price -> mkt rallies on Fed -> VX drops 200 beeps -> index drops 1SD on Fed -> VX flat to up small, ES short outperforms. Modeling optimal entry exactly 24h before rate decision.

Dayum, that is some extreme timing. Well, will be fun to see how that plays out Tues-through Wed.

destriero · Mar 17, 2023

Overnight said:
Dayum, that is some extreme timing. Well, will be fun to see how that plays out Tues-through Wed.

You can do it any time you like. You don't want to do it moments before the decision, but the morning of the decision is fine.

Overnight · Mar 17, 2023

destriero said:
You can do it any time you like. You don't want to do it moments before the decision, but the morning of the decision is fine.

Well, you said the optimal timing would be ~ 2PM ET Tuesday. But I don't trade options as you know. What I meant was that it will be interesting to see how it plays out if you take that trade.

destriero · Mar 17, 2023

futures.

wildchild · Mar 17, 2023

Overnight said:
Ahh I see, you are just noting everyone's statements in the thread. Not just me. Carry on then.

Yeah, yeah, yeah, now whats up, Doug?

Overnight · Mar 17, 2023

destriero said:
futures.

Right, right. I re-read it. Whenever I see you type something like "Time as synthetic volatility" I don't equate that as a futures thing. Never thought of futures in those terms, so my brain goes "dest is on about options", lol. Tunnel vision, as it were. My bad.