Trader P/L 2014

[sellindexvol66]

I know it's been slow but man you need to stop effing around with the euro vix

Probably good advice but its too cold to go outside and play.

 

[sellindexvol66]

If you'd told me the S&P would be up a half a percent today and I'd still end up down, I'd have looked at you like you had two heads. But that's what happened.
Front of the VIX curve went down, back went up. Or, to make it simple: any day when VXX falls AND ZIV falls means that more than likely, I did badly.
Today was no different. My patience is getting thin with this: the front isn't responding to spikes, with the futures in the front very frequently trading at a discount when VIX spikes, a thing that used to be rare and only happen on more extreme moves than what we've seen this year, and the back goes up in steps and then stays up.
Another month of this and I'll be done with trying this, and go back to the original config: short the front and short the S&P. There's days, like yesterday, that that doesn't work, but entire months don't go by with that strategy failing.

You think front vix futures do not respond to vol spikes 'lately'? For me that's been my best trade for years, hands down. Persistent shorting I do hope continues indefinitely.

 

[newwurldmn]

If you'd told me the S&P would be up a half a percent today and I'd still end up down, I'd have looked at you like you had two heads. But that's what happened.
Front of the VIX curve went down, back went up. Or, to make it simple: any day when VXX falls AND ZIV falls means that more than likely, I did badly.
Today was no different. My patience is getting thin with this: the front isn't responding to spikes, with the futures in the front very frequently trading at a discount when VIX spikes, a thing that used to be rare and only happen on more extreme moves than what we've seen this year, and the back goes up in steps and then stays up.
Another month of this and I'll be done with trying this, and go back to the original config: short the front and short the S&P. There's days, like yesterday, that that doesn't work, but entire months don't go by with that strategy failing.

I think you will see more like this. There was an article (on Bloomberg I believe) about how popular the VIX and related products have been. Now the volatility of the vix vs SPX is much higher than it used to be.

The supply demand structure is definitely changing.

 

[Soon2Bgreat]

I think you will see more like this. There was an article (on Bloomberg I believe) about how popular the VIX and related products have been. Now the volatility of the vix vs SPX is much higher than it used to be.

The supply demand structure is definitely changing.

Good point.

This also adds to the difficulty of trefoil's other strategy to short vxx/short sp. We've had a frustrating amount of days where long sp delta outperforms short vol, the extra vol makes weighting these difficult imo.

 

[trefoil]

You think front vix futures do not respond to vol spikes 'lately'? For me that's been my best trade for years, hands down. Persistent shorting I do hope continues indefinitely.

I went back and looked at this year just to make sure I'm not seeing things. Front month was at a discount 10 days in a row in late Jan and early Feb. Also a couple days outside that timeframe.
Median of front month to VIX according to my database since futs started trading is 3% over. Median this year is 2.48%, another way of seeing the same thing. It's normal for the premium to shrink when VIX spikes, I know, but it's been more extreme.

 

[slicky_pete]

-91$

 

[Jimmy Ray]

Total Trades for February 2014

Profit/(Loss): $308.24
No of Trades: 12
Wins: 9
(Loss): 3
Avg Win: $84.48
Avg Loss: ($150.69)

 

[Jimmy Ray]

Detail of Trades for February 2014

 

[voltrader1]

past two weeks performance.

 

[Jimmy Ray]

Group P&L - 02/14

Enclosed is a snapshot of the P/L Thread's performance for the month of Feb, 2014 (in no specific order).

Considering the fact that there are a handful (less than ten) of threads where traders post their real money results on this site, compared to hundreds of threads where traders post "everything else", I'm very impressed with the performance on this thread, and I'm very happy to be posting here.

Do more of what works, less of what doesn't, and size-up as you increase your account ... and trust me, we'll be putting up big numbers just like they used to do in the past P/L threads.

Note: If any of the traders get a different result for their monthly performance than what I have posted please let us know.