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VIX fly / spread journal
- Thread starter Jgills
- Start date
Jgills and cdcaveman- full disclosure: i've traded on the floor of the Chi merc, CBOE and new location of cme the Chi board of trade for the last 16 years - now upstairs trading VIX curve.
#1 all commodities trade with a monthly symbol letter. jan is F feb is G, march H, april J, may K, june M.... so by arbitrarely putting in your own letters for a month totally "confuses the market"
#2 when describing a butterfly spread ie short 1 long 2 short 1. the 2 lot in the middle is called the body of the fly not the "belly" and long or short refers to the wings bc that is where the premium is in the fly. otherwise it's referred to as a "broken fly"
so long 10 butterflys means you are long the wings and short the body for example.
#3 you must using some off the shelf spreader bc the VIX trades in minimum tics of 5. quoted and traded in nickels. so if you trade one month v another the difference can only be .05 plus or minus of course. if you want further explanation of tic size go to CBOE website under CFE.
#1 all commodities trade with a monthly symbol letter. jan is F feb is G, march H, april J, may K, june M.... so by arbitrarely putting in your own letters for a month totally "confuses the market"
#2 when describing a butterfly spread ie short 1 long 2 short 1. the 2 lot in the middle is called the body of the fly not the "belly" and long or short refers to the wings bc that is where the premium is in the fly. otherwise it's referred to as a "broken fly"
so long 10 butterflys means you are long the wings and short the body for example.
#3 you must using some off the shelf spreader bc the VIX trades in minimum tics of 5. quoted and traded in nickels. so if you trade one month v another the difference can only be .05 plus or minus of course. if you want further explanation of tic size go to CBOE website under CFE.
Quote from weezy:
Jgills and cdcaveman- full disclosure: i've traded on the floor of the Chi merc, CBOE and new location of cme the Chi board of trade for the last 16 years - now upstairs trading VIX curve.
#1 all commodities trade with a monthly symbol letter. jan is F feb is G, march H, april J, may K, june M.... so by arbitrarely putting in your own letters for a month totally "confuses the market"
#2 when describing a butterfly spread ie short 1 long 2 short 1. the 2 lot in the middle is called the body of the fly not the "belly" and long or short refers to the wings bc that is where the premium is in the fly. otherwise it's referred to as a "broken fly"
so long 10 butterflys means you are long the wings and short the body for example.
#3 you must using some off the shelf spreader bc the VIX trades in minimum tics of 5. quoted and traded in nickels. so if you trade one month v another the difference can only be .05 plus or minus of course. if you want further explanation of tic size go to CBOE website under CFE.
thanks Weezy.. i guess a few of us here have followed suit with what other elder generation vol traders on ET have described.. .. (at least the ones i talk to, i completely blame them haha) they trade their own account and have never been on the floor.. i personally would love the experience.. i have heard mostly "body" and i personally describe a fly that way respectively.. short body, long body... short body = long vol long body = short vol..
saying long butterfly or short butterfly can cause me confusion outside of options on equities.
switches is another term we use for single calender spreads... layering them on flys for different expressions on the market.. local ET slang from the degens.. degenerates...
i use Interactive brokers as a few of my friends on here do as well.. i'm a very easily confused beginner..
all i know is .10 cent change in switch equals a hundred bucks in or out of my pocket.. same with a fly.
Quote from weezy:
Jgills and cdcaveman- full disclosure: i've traded on the floor of the Chi merc, CBOE and new location of cme the Chi board of trade for the last 16 years - now upstairs trading VIX curve.
#1 all commodities trade with a monthly symbol letter. jan is F feb is G, march H, april J, may K, june M.... so by arbitrarely putting in your own letters for a month totally "confuses the market"
#2 when describing a butterfly spread ie short 1 long 2 short 1. the 2 lot in the middle is called the body of the fly not the "belly" and long or short refers to the wings bc that is where the premium is in the fly. otherwise it's referred to as a "broken fly"
so long 10 butterflys means you are long the wings and short the body for example.
#3 you must using some off the shelf spreader bc the VIX trades in minimum tics of 5. quoted and traded in nickels. so if you trade one month v another the difference can only be .05 plus or minus of course. if you want further explanation of tic size go to CBOE website under CFE.
i'm aware of #1 and #2, no one seemed to have a problem w my notation here, but i will agree with you on the fma part, that would be confusing. i will state the months or use the month codes going forward.
your credibility is tarnished by statement #3.
if you are actually "now upstairs trading the vix curve" i am terribly worried for whomever's money your trading
FYI - http://cfe.cboe.com/Products/Spec_VIX.aspx about halfway down the page
MINIMUM PRICE INTERVALS/DOLLAR VALUE PER TICK:
0.05 points, equal to $50.00 per contract
The individual legs and net prices of spread trades in the VIX futures contract may be in increments of 0.01 index points, which has a value of $10.00.
MINIMUM PRICE INTERVALS/DOLLAR VALUE PER TICK:
0.05 points, equal to $50.00 per contract
The individual legs and net prices of spread trades in the VIX futures contract may be in increments of 0.01 index points, which has a value of $10.00.
it says "0.05 points, equal to $50.00 per contract" giving a dollar value of .05 equal to 50 bucks.. it trades in increments of .01 for me..
now is the actual big vix outright contracts incremented in .05 point increments? and spreads be in increments of .01... it says spread trades in vix futures contract may be increments of .01
0.05 points, equal to $50.00 per contract
The individual legs and net prices of spread trades in the VIX futures contract may be in increments of 0.01 index points, which has a value of $10.00.
it says "0.05 points, equal to $50.00 per contract" giving a dollar value of .05 equal to 50 bucks.. it trades in increments of .01 for me..
now is the actual big vix outright contracts incremented in .05 point increments? and spreads be in increments of .01... it says spread trades in vix futures contract may be increments of .01
(1) VIX is not a commodity, it's volatility product. Three-letter month "codes" are actually more common, nobody in the general vol world would actually refer to Dec variance as "Z13" var (if anything, it's Dec for front December and DecL for next December)Quote from weezy:
#1 all commodities trade with a monthly symbol letter. jan is F feb is G, march H, april J, may K, june M.... so by arbitrarely putting in your own letters for a month totally "confuses the market"
#2 when describing a butterfly spread ie short 1 long 2 short 1. the 2 lot in the middle is called the body of the fly not the "belly" and long or short refers to the wings bc that is where the premium is in the fly. otherwise it's referred to as a "broken fly"
so long 10 butterflys means you are long the wings and short the body for example.
#3 you must using some off the shelf spreader bc the VIX trades in minimum tics of 5. quoted and traded in nickels. so if you trade one month v another the difference can only be .05 plus or minus of course. if you want further explanation of tic size go to CBOE website under CFE.
(2) again, the belly of the fly is perfectly proper OTC lingo, originated from the fixed income world. if i bot a straddle and sold a straddle, would i be selling a fly or buying?
(3) CFE native spreads trade in the increments of 1, you should check them out if you actively trading VIX
Quote from sle:
(1) VIX is not a commodity, it's volatility product. Three-letter month "codes" are actually more common, nobody in the general vol world would actually refer to Dec variance as "Z13" var (if anything, it's Dec for front December and DecL for next December)
(2) again, the belly of the fly is perfectly proper OTC lingo, originated from the fixed income world. if i bot a straddle and sold a straddle, would i be selling a fly or buying?
(3) CFE native spreads trade in the increments of 1, you should check them out if you actively trading VIX
wouldn't being long a front month straddle short a back month straddle be just a switch not a fly? idk.. i'm asking