VIX fly / spread journal

Quote from NKVI>NH:

hey yes, very illiquid (and late) i am primarily an idex trader but since i study vol in relation to the index i have been noticing patterns.

size is small @ 10/20/10..i expect to add when i wake in am.
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why not just do it in options, given the liquidity?
 
i had traded the jan/feb/mar fly (long the wings) last week at 47 and covered it this am at 26 (21c gross profit) the front moved a lot EOD (although this fly did not move THAT much) i re-entered it @ 32 in after hrs.

honestly i thought that the flattening in the front was potentially coming to an end, but after seeing the move in dec/jan EOD and the dec/jan/feb fly, i think there may be some juice left of the jan/feb/mar. addditionally, if you look back last year around this time, there was nothing terribly notable going on in spx or vix (although debt ceiling was on the horizon for end of month), yet this fly and the one in front of it still flattened.

does anyone have any opinions on this? i think we can see it trade at 20 or lower.
 
Quote from NKVI>NH:

hey yes, very illiquid (and late) i am primarily an idex trader but since i study vol in relation to the index i have been noticing patterns.

size is small @ 10/20/10..i expect to add when i wake in am.
More...

can see your trade on 10:15:41 10x @ 25.75 :)
legging in slowly?
sadly only vix futures are liquid enough, even v2x takes a long time to leg in
 
Quote from sle:

why not just do it in options, given the liquidity?
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i seem to see expected outcome easier with the futures.

i will look at vix now that they trade in my timezone, thanks guys.
 
Quote from NKVI>NH:

i seem to see expected outcome easier with the futures.

i will look at vix now that they trade in my timezone, thanks guys.
More...

You can't trade pure volatility with options.. Unless your gonna delta hedge there's no way to extract the volatility the options represent.
So then your PNL is directly related to how well you hedge. When you trade options without a D1 hedge you imply a directional bias.
 
Quote from Jgills:

i had traded the jan/feb/mar fly (long the wings) last week at 47 and covered it this am at 26 (21c gross profit) the front moved a lot EOD (although this fly did not move THAT much) i re-entered it @ 32 in after hrs.

honestly i thought that the flattening in the front was potentially coming to an end, but after seeing the move in dec/jan EOD and the dec/jan/feb fly, i think there may be some juice left of the jan/feb/mar. addditionally, if you look back last year around this time, there was nothing terribly notable going on in spx or vix (although debt ceiling was on the horizon for end of month), yet this fly and the one in front of it still flattened.

does anyone have any opinions on this? i think we can see it trade at 20 or lower.
More...

i took the jan/feb leg off at 91.

the front fly had dropped all the way to -25c and then started to catch a bid back up, this was shortly after the front spread got a strong bid at 68 and swiftly went back up to 80 (which one of u was it?).

i did get to see my fly trade at 19, which is where it was when i existed the front leg of it, at this point i think we can see the curve widen back out a bit so i will potentially maintain this position of short feb / long mar in the short-term.

my only concern is NFP coming up may keep a bid there and not allow the feb/mar to widen back out. personally i think it can see 80 before nfp, what do you guys think?
 
Quote from Jgills:

i took the jan/feb leg off at 91.

the front fly had dropped all the way to -25c and then started to catch a bid back up, this was shortly after the front spread got a strong bid at 68 and swiftly went back up to 80 (which one of u was it?).

i did get to see my fly trade at 19, which is where it was when i existed the front leg of it, at this point i think we can see the curve widen back out a bit so i will potentially maintain this position of short feb / long mar in the short-term.

my only concern is NFP coming up may keep a bid there and not allow the feb/mar to widen back out. personally i think it can see 80 before nfp, what do you guys think?
More...

You talking about the Feb/Mar spread? It's .70 now, so any sort of curve steepening would make it .80. Pretty easy IMO, since Feb is the 3rd month, and that's what I love to short. (Me and I'm sure a buncha other smart alecks.) …and it widened to .75 as I typed this...
 
Quote from trefoil:

You talking about the Feb/Mar spread? It's .70 now, so any sort of curve steepening would make it .80. Pretty easy IMO, since Feb is the 3rd month, and that's what I love to short. (Me and I'm sure a buncha other smart alecks.) …and it widened to .75 as I typed this...
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do you ever hedge a short vol trade like that?
 
Quote from sellindexvol66:

do you ever hedge a short vol trade like that?
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Yeah, I buy 1st & 2nd months, then start shorting from 3rd on. Suffered when the curve was steepening a couple weeks back, with front declining while back was rising, but all better now. I'm realizing more and more I have to watch the VXV/VIX ratio to get a good handle on when to do this and when not, or at least when to be heavily in it and when not.
Like I said before, 3rd month seems to be the charm, at least for me. Mostly I short the 3rd, do a little after that.
 
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