VIX fly / spread journal

trefoil · Jan 10, 2013

Quote from sellindexvol66:

Man such vol opinions...u guys all can't be the only ones shorting march vol in whatever combos..i 'm on the other side longing it..so we will see.

Really? Hmm....

Jgills · Jan 14, 2013

i closed the apr/may/jun fly @ 0.

$200 profit on it

Jgills · Jan 15, 2013

i traded out of the feb/mar/apr fly @ 67 for +$100 pnl

Jgills · Jan 15, 2013

i BOT jul/aug @ 57, this is currently my only position.

macintash · Jan 15, 2013

I am still in it, will probably close it in a few days. So far both legs and hedge are positive.

Quote from macintash:

I am experimenting the following. Shorted feb/mar for 1.57, bought mar/apr for .72 (.85 fly). In addition I have shorted 100 vxx for each fly for protection against the fly expanding further. One problem I have with this trade is that everyone here seems to agree that feb/mar is a good short.

macintash · Jan 15, 2013

Are you including commission charges in your pnl calculations? on a fly commissions add up.

Quote from Jgills:

i traded out of the feb/mar/apr fly @ 67 for +$100 pnl

Jgills · Jan 15, 2013

Quote from macintash:

I am still in it, will probably close it in a few days. So far both legs and hedge are positive.

good for you - glad u can make some money (i hope i stemmed the idea)

it includes comission, i add 1bp on my entry/exit post to account for them. (it actually ends up overstating comission)

Jgills · Jan 15, 2013

seems my execution time was pretty bad though. hope it works better for you

macintash · Jan 15, 2013

It was the conversation here that helped me push to actually do the trade, however i decided to add vxx to hedge against a major vix fall.

Quote from Jgills:

good for you - glad u can make some money (i hope i stemmed the idea)

macintash · Jan 16, 2013

Closed the fly. The feb/mar went for 1.45 and mar/apr for .87 (Fly was .58). VXX added another .06 to the profit. It was a nice trade, looking forward for the next one..