Transform the VIX into cash machine

[gkishot]

Quote from stevegee58:

Hmmm. None of those symbols work for me in IB. VX or VBI.

Try VIX and VIB.

 

[artes]

Quote from stevegee58:

Hmmm. None of those symbols work for me in IB. VX or VBI.

On Yahoo : http://finance.yahoo.com/q/bc?s=^VIX&t=2y&l=off&z=l&q=c&c=

On Interactive Brokers:
VIX CBOE VOLATILITY INDEX (VXG8) (Exp: 20080220) [Details]
Futures n/a USD CFE
VIX CBOE VOLATILITY INDEX (VXK7) (Exp: 20070516) [Details]
Futures n/a USD CFE
VIX CBOE VOLATILITY INDEX (VXK8) (Exp: 20080521) [Details]
Futures n/a USD CFE
VIX CBOE VOLATILITY INDEX (VXM7) (Exp: 20070620) [Details]
Futures n/a USD CFE
VIX CBOE VOLATILITY INDEX (VXN7) (Exp: 20070718) [Details]
Futures n/a USD CFE
VIX CBOE VOLATILITY INDEX (VXQ7) (Exp: 20070822) [Details]
Futures n/a USD CFE
VIX CBOE VOLATILITY INDEX (VXU7) (Exp: 20070919) [Details]
Futures n/a USD CFE
VIX CBOE VOLATILITY INDEX (VXV7) (Exp: 20071017) [Details]
Futures n/a USD CFE
VIX CBOE VOLATILITY INDEX (VXX7) (Exp: 20071121) [Details]
Futures n/a USD CFE

CBOE VOLATILITY INDEX (VXM7) http://www.interactivebrokers.co.uk/en/main.php [contract search]

 

[artes]

Quote from gkishot:

Try VIX and VIB.

On IB
this link

http://www.interactivebrokers.com/e...?exch=cfe&showcategories=FUTGRP&ib_entity=llc

#
IB Symbol Product Description (click link for more details) Symbol Currency

BXM : CBOE BUYWRITE MONTHLY IX BX USD

CYX : CBOE CHINA INDEX CX USD

VXD : CBOE DJIA VOLATILITY INDEX DV USD

VT : CBOE S&P 500 THREE MONTH VARIANCE VT USD

VIX : CBOE VOLATILITY INDEX VX USD
#

 

[sellvol]

Quote from artes:


How to transform the VX future into cash machine?


http://cfe.cboe.com/Products/historicalVIX.aspx

You dont. All of what you say is already priced in through the convergence premium.

 

[KS96]

Quote from demoship:



I'll write puts again only if it goes under 12.

think again... if only it was that easy..

 

[artes]

Is about trading VX future contract...
If you speak about options, please, only of futures options! and so yes of which date and strike?
Thxs

 

[artes]

Today it was possible to entry @ 129.75
exit @ 132.25
VIX (Volatility index)(may07)
see the chart below

 

[artes]

there is a 10 days chart
VX index Future (MAY-07)
1 tick = $:10-

VIB = VIX x 10
VX = VIB x 100

Scale out order for 10 days
entry @ 130.35
sc 1 @ 131.35 = 10 ticks -> 100$
sc 2 @ 133.35 = 30 ticks -> 300$
sc 3 @ 136.35 = 60 ticks -> 600$

^VIX on Y! -> http://finance.yahoo.com/q/bc?s=^VIX&t=6m&l=off&z=l&q=c&c=

IG charts on attach (gains on 10 days : +$:2,900-~/ about 12% of the account/ )

 

[ntt]

Quote from sellvol:

You dont. All of what you say is already priced in through the convergence premium.

For sure. Moreover the vix futures don't move in lockstep with the underlying vix index. Unlike stock index futures, there is no clear arbitrage mechanism between vix futures and the underlying index. Reason: vix cannot be replicated with a basket of options.

The pricing and premium of vix futures is a whole new game. No ideas how to make money from it, but it's certainly interesting.

 

[artes]

at 130 from 126 (VIB)

see chart below