Trading the SP500 in 2004-2005 what was it like?

market was very dead with no heart pulse and highly untradable.

you could attempt to sell options.
but that only worked during the initial part of dead market.
so don't trade dead market!

but there were other tradable futures like Natural Gas.
It was highly tradable
 
Last edited:
CBOE floor became a ghost town after the dot.com bubble burst in 2000. Finally went back to the CME in 2004 to chase greener pastures. Hard lesson learned during those low vol CBOE years: You can't inventory long option premium waiting for the big move which may never happen, even with the VIX at 10 or lower...the time decay (theta), like flesh eating bacteria, will slowly and painfully kill you.
 
VolSkewTrader said:
CBOE floor became a ghost town after the dot.com bubble burst in 2000. Finally went back to the CME in 2004 to chase greener pastures. Hard lesson learned during those low vol CBOE years: You can't inventory long option premium waiting for the big move which may never happen, even with the VIX at 10 or lower...the time decay (theta), like flesh eating bacteria, will slowly and painfully kill you.
More...
At what vix lvls does volatility trading become profitable? Unprofitable in your expierience (2007/2008)?
 
Atikon said:
At what vix lvls does volatility trading become profitable? Unprofitable in your expierience (2007/2008)?
More...

VIX is implied volatility.
Anything trading related is about value.
When the implied isn’t equal to the realized value.

If the last price isn’t the best approximation of future prices then you have a business.
 
Last edited:
Atikon said:
At what vix lvls does volatility trading become profitable? Unprofitable in your expierience (2007/2008)?
More...

VIX flatlining between 10-15 level (like from 2003-2005) is the death knell for day trading. Markets are tight, almost choice, and realized vol is likely below implied. Gamma is cheap but everyone's long it, so that keeps the underlying in an even tighter range. You have to cover your decay bill by scalping your gamma all day/night long. Almost better to be short premium in a low VIX environment, but that is a ticking time bomb with many sleepless nights just to make a little on theta everyday.

Best VIX environments where you can make your whole year in a week or a few days are the 50 to 80+ levels we saw in 2007-2008 and March/April 2020. Egregiously wide markets make for phenomenal day trading if you're willing to stick your neck out. Calendars, risk reversals, butteflies, condors, ratios, skew, term structure, etc. are constantly out of line and there's no shortage of surface anomalies. You can clean up being short or long gamma and/or vega when vol of vol (VIX range) is high.

And you can take some of your day trading profits (house money) to take calculated big shots on gamma, vega, and skew..or just go home flat and sleep like a baby.
 
VolSkewTrader said:
VIX flatlining between 10-15 level (like from 2003-2005) is the death knell for day trading. Markets are tight, almost choice, and realized vol is likely below implied. Gamma is cheap but everyone's long it, so that keeps the underlying in an even tighter range. You have to cover your decay bill by scalping your gamma all day/night long. Almost better to be short premium in a low VIX environment, but that is a ticking time bomb with many sleepless nights just to make a little on theta everyday.

Best VIX environments where you can make your whole year in a week or a few days are the 50 to 80+ levels we saw in 2007-2008 and March/April 2020. Egregiously wide markets make for phenomenal day trading if you're willing to stick your neck out. Calendars, risk reversals, butteflies, condors, ratios, skew, term structure, etc. are constantly out of line and there's no shortage of surface anomalies. You can clean up being short or long gamma and/or vega when vol of vol (VIX range) is high.

And you can take some of your day trading profits (house money) to take calculated big shots on gamma, vega, and skew..or just go home flat and sleep like a baby.
More...

Could you please further explain: "Gamma is cheap but everyone's long it, so that keeps the underlying in an even tighter range."

Also, interestingly the recent 2017 period saw low VIX coupled with a very bullish move.
 
You must log in or register to reply here.
Back
Top