VIX ETF/Futures/Options Discussion Thread

[garachen]

Quote from rallymode:

Ah the good old days of buying front into the close and reversing the last few seconds. I can think of atleast a few ways i exploited the order flow that came in like clockwork 2-3 years ago. All of that is mostly gone with the exception of a few EOD instances.

Seriously, those days were sweet! But so binary, could either make 50K in 2 seconds or wait overnight with like 300 cal spreads and try to hedge with ... something. Nail-biting.

The real glory days of vix were in 2006-2007. Market orders blowing through the book like clockwork.

It should be changing to a 24 hours schedule about a year from now. Maybe then we will get new interesting things.

 

[sellindexvol66]

Quote from garachen:

Seriously, those days were sweet! But so binary, could either make 50K in 2 seconds or wait overnight with like 300 cal spreads and try to hedge with ... something. Nail-biting.

The real glory days of vix were in 2006-2007. Market orders blowing through the book like clockwork.

It should be changing to a 24 hours schedule about a year from now. Maybe then we will get new interesting things.

yep, i was getting in there in 2007 (2008 i went full time..what a ride, lol), agreed to that and rally post on EOD stuff too. gotta keep on evolving the models i guess.

btw, through ib spread trader there is no market depth.

 

[sle]

Quote from garachen:
The real glory days of vix were in 2006-2007.

Even more recent, it was a great time to trade var>vix futures... magical trade, too

 

[garachen]

Quote from sle:

Even more recent, it was a great time to trade var>vix futures... magical trade, too

And super recent were the first few days of VXEM when Barclay's algo was... interesting.

I had some slight hope for these new security futures coming out but with the decision to change to $100 multiplier I now have no hope. It would have been much more encouraging to see them open with maybe a 2 tick spread. At 4 ticks - $200 it's pretty untradeable when they are quoting more or less accurately. Even if they just quoted the front month tighter... I guess I can't complain too much since I didn't apply to be the market maker.

My most recent excitement is those interest rate futures on Bovespa. So many weird quirks.

 

[Goalgetter]

Quote from garachen:

And super recent were the first few days of VXEM when Barclay's algo was... interesting.

I had some slight hope for these new security futures coming out but with the decision to change to $100 multiplier I now have no hope. It would have been much more encouraging to see them open with maybe a 2 tick spread. At 4 ticks - $200 it's pretty untradeable when they are quoting more or less accurately. Even if they just quoted the front month tighter... I guess I can't complain too much since I didn't apply to be the market maker.

My most recent excitement is those interest rate futures on Bovespa. So many weird quirks.

""My most recent excitement is those interest rate futures on Bovespa. So many weird quirks.""

May I/we hear more please. Sounds interesting.

GG

 

[J-Law]

Hey guys, product question...
I understand that the VX futures underlying is option pricing based. What does that
mean for short gamma risk if your selling The futures on a vol sell off? Is is mitigated or is it just buried in the product somewhere?

Thanks

 

[njrookie1]

VIX goes up very fast - more than linearly - when SPX goes down. It is related to (risk neutral) skew going up in the option mkt when things flare up. If this is what you means by gamma risk in short selling VIX related products, you might need to hedge the tail risks.

njrookie

 

[sle]

Quote from njrookie1:

It is related to (risk neutral) skew going up in the option mkt when things flare up.

Sorry, what exactly do you mean by "skew going up"?

 

[njrookie1]

slope of IV goes up for OTM puts.

 

[atticus]

Quote from njrookie1:

slope of IV goes up for OTM puts.

Not always the case in a steep drop. Often the 20D/ATM slope goes down.