In a previous post you wrote to IV_Trader:
"lets just say, you, and some other ft types helped me"
Here is the post:
http://www.elitetrader.com/vb/showthread.php?s=&postid=1950776&highlight=ft+types#post1950776
"ft" = fattail?
options . . . very hard to make money
- Thread starter billyjoerob
- Start date
In a previous post you wrote to IV_Trader:
"lets just say, you, and some other ft types helped me"
Here is the post:
http://www.elitetrader.com/vb/showthread.php?s=&postid=1950776&highlight=ft+types#post1950776
"ft" = fattail?
maybe i am overly nice, i will reiterate...one person gave a place to look after i was already on my way.
those ft guys you refer to in your investigation are merely people i talk to during the day. ask iv and oc. they will tell you that they did not help me whatsoever.
this is a waste of my time. you guys want to earn a living? pull all nighters like i did. no guru or any other way will do it.
those ft guys you refer to in your investigation are merely people i talk to during the day. ask iv and oc. they will tell you that they did not help me whatsoever.
this is a waste of my time. you guys want to earn a living? pull all nighters like i did. no guru or any other way will do it.
I doubt there is anything "mysterious" at all. Especially if sellindexvol is trading from a retail account. I suspect it is "simply" combos of short 'flys (directional element), with something like condors (don't want too much movement, etc). And with enough leverage to make it interesting. The combinations are practically endless.
And like he said, a whole bunch of work, thinking up positions and risk limits, trading in and out, etc... Could I do it? No way. Not to that level of success. Assuming it isn't just a long streak of luck, he needs to start his own HF and quit screwing around.
Good trading to all.
Thanks! I had never thought of applying dv01 to vol derivatives instead of rates. Makes sense though.
... and, whadayouknow but the second Google hit on "dv01 vix futures" is this quote from you:
"Have you considered calculating say a 5-day running dv01 in the front month Vix futures (Mar, Apr, May) and ratioing the calendar to isolate the convergence?"
SIV66 previously (2008 or 2009) posted he was, among other strats, playing the vix futures switches.
On the basis of some predictions (informed or uninformed⦠it doesnât really matter) you recommend an extreme trading choice: keeping all money in cash or gold. If you recommended a moderate strategy like âInvest small amounts regularly (dollar cost averaging) at reasonable quantities.â that might be sensible advice. If you suggested looking at some basic metrics (like P:E ratios) that might be sensible advice. But advising an extreme position (regardless of whether itâs âthrow it all into stock Xâ or âkeep it all in cashâ) based on very specific predictions of what will happen⦠now THAT is dangerous.
A good idea nevertheless. 5-day rolling dv01 in this context is basically a rolling 5-day correlation, somehing I had not thought of trying. I have always run my correlations on the same timeframe on which I test for cointegration -- a year or more.
I've now plowed through the most recent half of SIV66's posts on the other board, all of his SIV66 posts here on ET, and a smattering of his posts here under his other alias. I am convinced that most of his recent trading is in VIX futures.
I think you're making this more complicated than it needs to be.
When I was explaining options to my son and I started with delta, he immediately came back with "Oh! Duration!"
...which of course is an input to dv01.
Interest is a way of making money from time, as is theta, if you sell an option. That's one way of looking at it. There's probably lots more, and while it's probably true that you could take a measure of volatility to indirectly arrive at a dv01 calculation, I don't think you have to get as weird as what you seem to be getting. IMHO and all that.
When I was explaining options to my son and I started with delta, he immediately came back with "Oh! Duration!"
...which of course is an input to dv01.
Interest is a way of making money from time, as is theta, if you sell an option. That's one way of looking at it. There's probably lots more, and while it's probably true that you could take a measure of volatility to indirectly arrive at a dv01 calculation, I don't think you have to get as weird as what you seem to be getting. IMHO and all that.
Oh...goodie! The whole let's-guess-how-a-guy-makes-money game.
Here's my 2 cents...
SIV66 has admitted that he uses flys, ratio spreads, and other contained risk long theta strategies. Also, his p/ls clearly showed each large winner coupled with a large losing side, meaning he doesn't take naked long or short positions.
I would guess that he hit a few flys with a lucky center strike pin here and there (think GOOG expiration), or that he is very good at predicting direction and uses buying OTM flys (broken and ratio flys perhaps) as a method for taking advantage of that edge in a low risk way.
He most likely uses a slightly (or perhaps vastly) different method in different market environments while typically collecting decay, and always limiting his max risk.
Furthermore, I would guess that he keeps his fat tail risk long (or at a minimum flat) in case the black swan hits.
Within that description, there are a million different ways make money.
If he is trading VIX or VXX, he is probably long OTM upside flys on the cheap. I don't think that futures are in his wheelhouse.
SIV66, very impressive track record!!!