VIX fly / spread journal

[Jgills]

Quote from njrookie1:

Is the long front vol position a hedge for the fly or a separate trade?

well, personally, i wouldnt run this fly here without the long front vol position so in that sense you can call it a hedge (and from my empiric view it does work as one), but i would run the long front vol position without the fly.

i also didnt necessarily enter one BECAUSE of the other either. i had been long front vol then saw a chance to enter favorably into the fly, so i did.

hope that will suffice

 

[axolotls]

Quote from atticus:

JFM (short wings) is popular at the moment.

What is that? I am only familiar with BWB as a variant to the std fly..

 

[Jgills]

didn't get a fill @ 18 yet...

 

[Jgills]

frustrating to get no fill there

 

[njrookie1]

you missed it by a tick. mkt has moved away.

for naked long vol, why not using vix ETPs?

 

[Jgills]

Quote from njrookie1:

you missed it by a tick. mkt has moved away.

for naked long vol, why not using vix ETPs?

yeah - thats what i get for being a cheapo not paying up 5bps.

i don't trade the ETPs for 2 reasons.

1) i dont have the same flexability with my employer

2) i don't see how they are the same, the etp's are there to mimic indicies or performance of something, i'd rather just express my view in a more pure manner

 

[Jgills]

i'm still alive - here in nyc and at work now.. nothing has changed in my position. if anyone is watching.. how are you all doing? did you fare well?

 

[Jgills]

somewhat active day today.

i closed the long leg of the fly (jan/feb) at 0.65 i'm looking to exit the other leg as well some time today. the trade is currently 0.10 vol against me.

i lifted 18.00 in nov

 

[Jgills]

Quote from Jgills:

somewhat active day today.

i closed the long leg of the fly (jan/feb) at 0.65 i'm looking to exit the other leg as well some time today. the trade is currently 0.10 vol against me.

i lifted 18.00 in nov

closed the other leg of the fly - total loss is .15 vol on the fly.

sellinindex - maybe you're right and i had agreed, but i just am not feelin this trade here.

 

[Jgills]

Quote from Jgills:

closed the other leg of the fly - total loss is .15 vol on the fly.

sellinindex - maybe you're right and i had agreed, but i just am not feelin this trade here.

i am going to track my pnl on here in vol terms.

my first trade was profit of 1.15 vol the fly had a loss of 0.15 vol, but the notional of the fly was 10x that of the nov. so net:

+1.15 vol
-1.50 vol

= -0.45 vol pnl