VIX fly / spread journal

[drownpruf]

Quote from sellindexvol66:

gosh..he made like 30 cents in a few days.

why attack so much?

i stand by my belief there was always little downside but a ton of upside in the trade, even as isolated.

I am not attacking. He stated he didn't need a selloff, but that's exactly what was needed for him to make anything. Gills mentions the one trade at 51 this morning as though it's relevant. Any more and the thing would likely be busted, and that's the confirmation? Plz.

Here's a 2 minute reso chart:

 

[Jgills]

Quote from drownpruf:

I am not attacking. He stated he didn't need a selloff, but that's exactly what was needed for him to make anything. Gills mentions the one trade at 51 this morning as though it's relevant. Any more and the thing would likely be busted, and that's the confirmation? Plz.

Here's a 2 minute reso chart:

its hard for me to argue that i didnt need a sell-off when one happened and there is nothing else to compare it to.

FYI over 100 spreads traded in the 50's. i mentioned the lowest tick because i was trying to show my point that it went down low.

the point of the trade was that it has this bonus accelerated move to it. you need to be fast to trade it. you dont wait around, u need to strike when nonsense like that happens, but the point is that it happened, and its what i was aiming for.

 

[Jgills]

Quote from rallymode:

I am nearly certain that if you trade this 100 times under similar conditions you will come out net loser and the loss won't be small. In fact, if i wasnt trading my own money i'd be trading the other side and selling var.

do you have a sample of 100 similar conditions that i can see to confirm?

additionally, i would NOT necessarily recommend the same trade in var space (if you're suggesting trading dec var vs jan var)

and as sellindex keeps saying, my short vol was through steepners in the curve and this was essentially a ratioed fly, i just happend to take this leg off because of the amt that it moved.

 

[sellindexvol66]

i never saw 51, as i closed @ 70 cents on "some inventory"(from 185) 952:51 am est

also, in the context of front spread trading i personally agree with rally thats its crazy and random; but i'm pretty sure most who trade this including gills is not simply trading front alone.

yes, you will get destroyed in time if that type of trade is your only..thats probably why so few actually make it here.

 

[drownpruf]

Quote from sellindexvol66:

i never saw 51, as i closed @ 70 cents on "some inventory"(from 185) 952:51 am est

also, in the context of front spread trading i personally agree with rally thats its crazy and random; but i'm pretty sure most who trade this including gills is not simply trading front alone.

yes, you will get destroyed in time if that type of trade is your only..thats probably why so few actually make it here.

One trade at 51. It took 80 cents on cash to move the spread a dime, a nickel at mkt, that's my point. People on this board would rather be right than make money.

FWIW, I think your premise correct; that cash would rally into the taper meeting, especially due to a serial SPX expiration that week. Bids on wing-vol prem would definitely hold which would force cash vol higher. I just think there were better trades but you got what you needed.

 

[drownpruf]

Quote from Jgills:

do you have a sample of 100 similar conditions that i can see to confirm?

additionally, i would NOT necessarily recommend the same trade in var space (if you're suggesting trading dec var vs jan var)

and as sellindex keeps saying, my short vol was through steepners in the curve and this was essentially a ratioed fly, i just happend to take this leg off because of the amt that it moved.

Are you up on the day, net-net with the back months?

 

[Jgills]

Quote from drownpruf:

Are you up on the day, net-net with the back months?

yes - the other ones havent moved much

funny u say im acting like i bot cds and they r paying off, because in something completely seperate, thats the kind of payout im expierencing. lol.

i bot a stake in a friend playing in WPT main event and he just made final table

 

[drownpruf]

Quote from Jgills:

yes - the other ones havent moved much

funny u say im acting like i bot cds and they r paying off, because in something completely seperate, thats the kind of payout im expierencing. lol.

i bot a stake in a friend playing in WPT main event and he just made final table

Ha, I know Joe C. and he had to be dragged to play in 2008 and won a mil. Was the largest payout (excluding main event) to date. 200 hands HU.

 

[Jgills]

Quote from drownpruf:

Ha, I know Joe C. and he had to be dragged to play in 2008 and won a mil. Was the largest payout (excluding main event) to date. 200 hands HU.

awesome.

i appreciate everyones input on the trade.

rallymode: i'd like to further discuss why you think that in 100 samples of similar conditions you see it being a losing proposition? what do you define these conditions as? and for this case, lets take the front position as its own. looking at trading it in the final 7 bus days before maturity of the front.

 

[rallymode]

Quote from Jgills:

awesome.

i appreciate everyones input on the trade.

rallymode: i'd like to further discuss why you think that in 100 samples of similar conditions you see it being a losing proposition? what do you define these conditions as? and for this case, lets take the front position as its own. looking at trading it in the final 7 bus days before maturity of the front.

I have data showing sensitivity to a change in vol, change in curve shape or a simple curve shift and without going into details i can say with a high degree of certainty that under current conditions the flip side has better expectancy and i would be all over it had it not been for the fact that such a trade as constructed would share the risk profile with a short put.

Now if you were to tell me that you intend to hold until the close on expiration day i would agree that there may be something there however any improvement in PnL would be very path dependent. Meaning you may have to sit through 50-100bps loss before you make 10 - 20 cents or breakeven. Not exactly prudent trading imo but since i am being vague feel free to disagree or disregard it completely.