My VIX Futures Journal

TheBigShort

TheBigShort

I have elementary knowledge of how the futs work. My goal is to build up enough trading experience to create a systematic strategy/app to help my senior. I will be providing code in R and occasionally in Python. I encourage all of you to add your thoughts. This thread may get cut short due to obvious reasons.

Both trades and research will be posted here.
Note** If you do comment or follow this thread, you will be notified 5x a day. Everything and Anything will be posted.
My last request is for the statisticians on this forum (i know there are a couple) to lend me a hand.

I am not familiar with the lingo so if you guys can correct me with the way I state the contracts...
 
Last week I sold July Futs @ 16.13 covered yesterday @ 16.03

Bot VXXB May17 36P @ 10.29 (last week).

Reasons for trade were steep contango and hefty premium from spot.
 
This is the relationship between f1-f2 contango and F1 returns. It is obvious (R^2 of .11) that when the curve is in contango, sell vol on the front month.
contango.PNG
 
I am interested in this thread as I recently started looking at Vix Futures..done a few trades with spreads instead of outrights..nothing major as trying to learn a bit about Vix trading

not sure if I can contribute anything of real value to your thread..but I will post some thoughts and screenshots from my TWS platform in relation to monitoring the Vix related products for potential trades

I recently read some interesting stuff about volatility ETF's..which shows that you really need to know what you are doing with these structured products

https://www.google.com/amp/s/www.cn...off-is-halted-after-an-80-percent-plunge.html

anyway..away for the day but will be back on laptop tonight..will post some details of what I am currently watching in relation to volatility trading for discussion..it might bring more who are interested into the conversation
 
Mean log spread between spot and Month 1 of Vix Futures by Bus Days. Looks like the largest spread happens around the 20 bus days DTE mark.
meanspread.PNG



sillyw10 said:
I am interested in this thread as I recently started looking at Vix Futures..done a few trades with spreads instead of outrights..nothing major as trying to learn a bit about Vix trading

not sure if I can contribute anything of real value to your thread..but I will post some thoughts and screenshots from my TWS platform in relation to monitoring the Vix related products for potential trades

I recently read some interesting stuff about volatility ETF's..which shows that you really need to know what you are doing with these structured products

https://www.google.com/amp/s/www.cn...off-is-halted-after-an-80-percent-plunge.html

anyway..away for the day but will be back on laptop tonight..will post some details of what I am currently watching in relation to volatility trading for discussion..it might bring more who are interested into the conversation
More...

Thanks, any help is good. I will take a look at the link. Trying to steepen the learning curve here.
 
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the link was just to show that it is possible to get really burned with volatility products unless you do your homework..I did come across some interesting read on how the short term ETF's are valued on a daily basis..you prob know some of this already as the valuation process drives trades..anyway..words are of limited value..as the saying goes..

"a picture paints a thousand words"

do you have access to interactive brokers TWS platform?
 
Double checking that the relationship between month1 and month2 move in a sqrt manner. Using a robust regression, we get "almost" sqrt root returns. Slope of the regression is 1.37 (I think we can safely say that returns remove in a sqrt fashion).

term.PNG

retsss.PNG


sillyw10 said:
the link was just to show that it is possible to get really burned with volatility products unless you do your homework..I did come across some interesting read on how the short term ETF's are valued on a daily basis..you prob know some of this already as the valuation process drives trades..anyway..words are of limited value..as the saying goes..

"a picture paints a thousand words"

do you have access to interactive brokers TWS platform?
More...
You can get burned in any product. Besides my two current trades (super small in total portfolio Pnl), I will not be doing trades naked. Most of my trades going forward will be relative value, so I do not get "burned"
 
just curious..are you monitoring any other data besides futures prices..last night I set up a monitoring page for put/ call ratios and futures OI on major index futures and Vix..what stands out is that the p/c ratio is high on all majors..top 10 weighted in sp500 have lower p/c ratios..

next step is to chart the p/c ratios in excel to get daily charts for same..my first impression is that we might be seeing some "steam" running out of this bull market..but much too early to say there is any significant signs yet until more data is analyzed..this is just to get an overall feel for where the big money is currently at..thereby assisting with short term trading decisions..

just some thoughts!
 
sillyw10 said:
just curious..are you monitoring any other data besides futures prices..last night I set up a monitoring page for put/ call ratios and futures OI on major index futures and Vix..what stands out is that the p/c ratio is high on all majors..top 10 weighted in sp500 have lower p/c ratios..

next step is to chart the p/c ratios in excel to get daily charts for same..my first impression is that we might be seeing some "steam" running out of this bull market..but much too early to say there is any significant signs yet until more data is analyzed..this is just to get an overall feel for where the big money is currently at..thereby assisting with short term trading decisions..

just some thoughts!
More...
Solely future prices and SPX options right now. Eventually I will get into OTC derivatives to help with modelling. I am trying to figure out how the term structure moves.

Yea if you could some how show that P/C ratio predicted vol, please do share!
 
A clear negative relationship between spx 30 day skew and 30 day Vix price. Since skew is a stationary asset, maybe it can be used to predict Vix prices?
vix30.PNG
 
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