VIX fly / spread journal

Quote from rallymode:

I think i've mentioned this before but you can't use 2007 as any type of comparison. Also, spread dynamics change a few times a year so going that far out will yield nothing worthwhile.

The dynamics of the second fly are quite different than the front one. I don't see it inverting in any meaningful way unless we drop all the way to the 200 day MA on the SP in a straight shot. In which case you are better of just being long puts than being short a fly when the curve is nearly flat. Risk/reward is quite skewed against you. Easier money is on the short vol side here IMO.
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thanks for getting back. i guess i need to study up more on the dynamics as clearly i thought it would be inverted by now and 1) it isn't 2) you understand why it isnt.
 
i've gotta thank some users here as i closed legs of my fly at different times. i legged out of the short calendar aug/sep leg at 0.37 a few days ago. i finished the rest of the position (the long sep/oct spread) at 0.43.

the net pnl turned out to be pretty good, but i owe some credit to both sellindexvol and rallymode for helping me to realize a problem in my position.

i still liked the long leg, but given that calendar spread margins are increasing close to 6x tomorrow, i wanted to sit out and see if it has any impact on liquidity and moves spreads around a bit.

seeing as its almost the end of June, i will shortly post my YTD performance. the past month has been very vital to my learning and i havent performed as well as i would have liked.

hope others have done better and thanks for following
 
Quote from Jgills:

but given that calendar spread margins are increasing close to 6x tomorrow, i wanted to sit out and see if it has any impact on liquidity and moves spreads around a bit.
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Say what? Where did you see this 6x margin increase? I have received no such update from the CFE.
 
Quote from rallymode:

Say what? Where did you see this 6x margin increase? I have received no such update from the CFE.
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Rally I emailed u this morning..permit holder margin circular gets it first apparently.. u most certainly have it in your inbox. I was on phone half the morning with CFE..they confirmed it.

I can resend if u need it.

This is a game changer if they implement. All day today I reduced. Shout out to NJ rookie who clued me in..thanks again.
 
Quote from sellindexvol66:

Rally I emailed u this morning..permit holder margin circular gets it first apparently.. u most certainly have it in your inbox. I was on phone half the morning with CFE..they confirmed it.

I can resend if u need it.

This is a game changer if they implement. All day today I reduced. Shout out to NJ rookie who clued me in..thanks again.
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I am a TPH and got no such notice. Even if i did, 6x increase with a 2 day notice - LOL

The CFE can kiss good bye to their ever increasing volume and OI if they don't reverse this insanity. It's absurd to have the front spread with a margin req pretty much in par with the outright. This notice is a complete joke. Too bad it isn't April 1.
 
Did anyone get a reason as to why they are doing this!? Seems like a drastic move unless some things have blown-up behind the scenes that are prompting this...
 
OCC wants it "from their MC model and due to current market environment". A bunch of gvmt acad quant type who had no idea what is going on.
 
I am not a conspiracy buff but this has a hidden agenda written all over it. I will be very interested in doing some digging around in my circles when i get back from vacation.
 
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