Short the VIX
- Thread starter pumpanddumper
- Start date
Sorry to start this thread. I didn't take a play on the VIX in any way. I just think the short term fear will subside soon.
If I was a savvy options derivative specialist, maybe I would be able to play the options game and fear indicators.
Don't mess with the VIX.
If I was a savvy options derivative specialist, maybe I would be able to play the options game and fear indicators.
Don't mess with the VIX.
This is not really correct. There are two separate and distinct items when referring to the VIX. You can trade VIX futures and the options based on them, but this is not the cash VIX index that everyone quotes. There are, of course, related but they are not the same and should not be traded as such.
The VIX index is 24.17 while the Aug futures contract is 20.17 and the Sep is 19.75. So it is a misnomer to say you can "short the VIX at 24". You have two choices: one is to short the Aug futures at about 20 or use the options to create an appropriate position, and the second is to use the SPX options in order to create a short vega position. You could short the Aug VIX futures and the cash VIX falls 4 points over the next few weeks and you end up not making any money.
i agree.
the VIX is unique among (nearly all) futures contracts, in that there is no underlying to exchange with or be fungible with.
iow, the ES *has* to move in a fair value range with the underlyings or arb opp's present.
this is NOT true with the VIX futures, since you can't arb the futures contract with the underlying VIX index, since the latter is simply a measure of risk premium
the VIX is unique among (nearly all) futures contracts, in that there is no underlying to exchange with or be fungible with.
iow, the ES *has* to move in a fair value range with the underlyings or arb opp's present.
this is NOT true with the VIX futures, since you can't arb the futures contract with the underlying VIX index, since the latter is simply a measure of risk premium
ES range for the week was 991/2 handles...... 
Welcome to the "MOTHER LODE" of stock index futures trading, lets hope it continues. This is what we dream about as daytraders............makes up for the boring narrow range days which have been far to many before the start of June. Get it while the fishing is good.
This separates the men from the boys. Which for more hedge funds to blow up.
Steaks for everyone. 
Welcome to the "MOTHER LODE" of stock index futures trading, lets hope it continues. This is what we dream about as daytraders............makes up for the boring narrow range days which have been far to many before the start of June. Get it while the fishing is good.
This separates the men from the boys. Which for more hedge funds to blow up.
Steaks for everyone.
There are not options traded on the spot VIX, that is the problem with VIX options.
i've only (myself) traded vix the few sparing times with general failure... but in my better experience, doesn't it seem like either shorting deep in the money calls on VIX while perhaps buying very far out of the money calls for protection is the only really doable trade -directly- with vix options? (ie selling the 10 or 11 call, buy the 25 or 27 call for august) or.. buying put verticals on august [ie long 20 put, short 18 put] Even the put verticals cost 1.20 or so with only .80 of upside.
trading vix options is tough because not only do you have to deal with the calendar (ie aug vix options trade against aug vix futures), but you have to deal with volatility of vix itself...
what a mind bender...
selling otm puts [to whatever extent otm or atm depends on your appetite for risk] and/or very wide vertical put spreads [as to not pay too much for volatility] on the S&P is probably the only realistic way to trade vol in a straightforward manner.