VIX fly / spread journal

stevegee58 · Oct 6, 2013

I just read the first post and couldn't figure out what "long belly of jfm fly" means. I figure the long belly refers to being long the butterfly body for a short fly, but what's jfm?

Jgills · Oct 6, 2013

Quote from stevegee58:

I just read the first post and couldn't figure out what "long belly of jfm fly" means. I figure the long belly refers to being long the butterfly body for a short fly, but what's jfm?

at the time, it meant "jan feb march" so calendary fly that was long the feb and short jan/mar

stevegee58 · Oct 6, 2013

Holy cow never heard of calendar flies. Did it start like that or morph into it after adjustments?

rallymode · Oct 6, 2013

Quote from Jgills:

i didn't get the chance to post end of q3 YTD performance (final date of metrics are 9/30/2013).

see attached.

things have been going slower for me lately than earlier in the year, but going up is better than going down.

my current MTM is a little higher than whats shown there, but we'll see how the next few weeks play out.

all of my trades for this year have been in vix spreads or butterflies. many of the trades were posted on the journal, but some have been intra-day that i haven't posted.

i hope everyone is doing well.

You really can't compare to first half of the year in any way. It truly sucks when all your leverage is taken away which makes me very surprised to see people still trading these with IB. If you were doing 50% on capital you would be down to 5% on the same risk after the nearly 10x margin hike.

sellindexvol66 · Oct 9, 2013

Quote from rallymode:

You really can't compare to first half of the year in any way. It truly sucks when all your leverage is taken away which makes me very surprised to see people still trading these with IB. If you were doing 50% on capital you would be down to 5% on the same risk after the nearly 10x margin hike.

ib tacks on a bit more than cfe but it still costs you nearly as much with your alternatives.

the real issue is if you continue trading these can you trade these differently enough to still make it worthwhile?

rallymode · Oct 9, 2013

Quote from sellindexvol66:

ib tacks on a bit more than cfe but it still costs you nearly as much with your alternatives.

the real issue is if you continue trading these can you trade these differently enough to still make it worthwhile?

You call 30%+ a little? Let's do some math.

Exchange maintenance - 5000
Exchange initial -5500
IB initial - 6600

If we enter a bear market the margins will likely hit 10-20k unless the methodology changes. Guess where ib will be? Lol You better milk it while you still can.

And to answer your q - the game is over. The only way to make any serious money now is to have a few mil in trading capital. We should feel lucky we were able to use crazy leverage since 2007.

njrookie1 · Oct 9, 2013

I agree with rally. The new cfe margin is ridiculous. It is not even internally consistent. Spread is too expensive and outright too cheap relatively.

Time to move on and expand to other products.

sellindexvol66 · Oct 9, 2013

Quote from rallymode:

You call 30%+ a little? Let's do some math.

Exchange maintenance - 5000
Exchange initial -5500
IB initial - 6600

If we enter a bear market the margins will likely hit 10-20k unless the methodology changes. Guess where ib will be? Lol You better milk it while you still can.

And to answer your q - the game is over. The only way to make any serious money now is to have a few mil in trading capital. We should feel lucky we were able to use crazy leverage since 2007.

Yes, what has happened here is a disaster , much more for me than you. As you know this is all I have done for years and cannot walk away so easily.

I am still waiting for you to fix this.

rallymode · Oct 9, 2013

Quote from sellindexvol66:

Yes, what has happened here is a disaster , much more for me than you. As you know this is all I have done for years and cannot walk away so easily.

I am still waiting for you to fix this.

lol To be honest this whole thing has been a blessing in disguise for me. I used to do 5% of the volume in durations over 60 days before the increase. I cut my size atleast 80% and now my stress level is non existent. Not to mention the free time. Sure I am down to about half the earnings but I am not sure I have much interest in it being fixed.

sellindexvol66 · Oct 9, 2013

Quote from rallymode:

lol To be honest this whole thing has been a blessing in disguise for me. I used to do 5% of the volume in durations over 60 days before the increase. I cut my size atleast 80% and now my stress level is non existent. Not to mention the free time. Sure I am down to about half the earnings but I am not sure I have much interest in it being fixed.

It has been some ride , I'm sure you are liking less work and stress but soon you will get bored.