riskarb's trading journal

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Vanilla short risk-reversal:

Short 100 of the June SPX 1300C // Long 100 the June SPX 1250P at $4.00. Not willing to sell too much into this oversold condition and unwilling to bid for VBI futures... what a quandry.

I am long deltas and short dgammas in virtually all positions. Need to buy some insurance here -- long put gamma/dgamma.
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Risk-reversal has doubled on this 8-handle selloff at FV. I am covering here and using proceeds to buy VBI futures.

1250//1300 bear reversal: 8.00 x 10.00 market at cboe

Sold 100 at market, $8.00 on the fill.

+$39,850 net of comms
(19,000) booked PnL

+$20,850 Pnl on journal blotter since inception



[journal blotter 2]
 
Quote from riskarb:

Ugh... thing is 1000 x 1100 now.
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Don't worry Riskarb, that's how we traders are.

As Marty Schwartz said in PitBull, traders are never satsfied.. we always want to sell at the low, buy at the high and do it in maximum size. That's why even good trades are still criticized.
 
I would've held, but didn't want to double my bear-hedge. Bid went from 800 to 880 within 20 seconds. Oh well, the entry was well-timed. Unfortuntely I didn't not effect my long VBI futures, so I will be bidding tomorrow.
 
hi riskarb - what a journal, what sexy trades, almost makes me feel like my futures trading is so routine compared with all this exotic stuff :D

i was wondering if you have an idea why Open Interest and, on some days volume, in the VBI futures has been running significantly higher in the August contract than in the June one - is this because the main players here are using this instrument mainly for longer-term hedging? or is it just that the overall volume is still low in general and hence any difference between contract months is due to a few larger trades?

thanks and best of luck with the journal.
 
Quote from fader:

hi riskarb - what a journal, what sexy trades, almost makes me feel like my futures trading is so routine compared with all this exotic stuff :D

i was wondering if you have an idea why Open Interest and, on some days volume, in the VBI futures has been running significantly higher in the August contract than in the June one - is this because the main players here are using this instrument mainly for longer-term hedging? or is it just that the overall volume is still low in general and hence any difference between contract months is due to a few larger trades?

thanks and best of luck with the journal.
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Thanks. The near VBIs invert from premium to discount [against VIX] as they become front-month. The term structure of VBIs carries +curvature, as is seen in the Treasury yield curve or any carry-driven market.

Implieds trade contango on tenors in a low-vol environment.
 
Quote from riskarb:

Thanks. The near VBIs invert from premium to discount [against VIX] as they become front-month. The term structure of VBIs carries +curvature, as is seen in the Treasury yield curve or any carry-driven market.

Implieds trade contango on tenors in a low-vol environment.
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ok, so people roll to the outer months or prefer outer months to prevent the erosion of premium in the front month contract..., makes sense, thanks - i look fwd to following the journal, all the best.
 
So as the slope of the term structure changes the correlation between the VIX and the VBI may be zero or even negative?

Trippy.

If you choose to hedge your VIX risk by using the VBI futs...how can that be done if at times they can be neg correlated? Seems like a flawed product.

I assume this can occur due to the way that the CBOE weights the options in the calculation of the VIX index itself.



Quote from riskarb:

Thanks. The near VBIs invert from premium to discount [against VIX] as they become front-month. The term structure of VBIs carries +curvature, as is seen in the Treasury yield curve or any carry-driven market.

Implieds trade contango on tenors in a low-vol environment.
More...
 
hi riskarb - what a journal, what sexy trades, almost makes me feel like my futures trading is so routine
More...

Heh seriously. Just tell one of riskarb's synopsis of an exotic trade to some ladies and they will be all over you. Although I am willing to make a market that the ladies are probably going to be after the wallet ;).

Nice trading B.
 
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