VIX fly / spread journal

Quote from macintash:

Rallymode, what do you think about my experiment, a J/F/M fly hedged by short vxx?
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my question to you is.. what math brought you to your hedge size in the vxx?
 
Quote from rallymode:

I hear someone got caught long jan futures in serious size into the fiscal cliff so there has been heavy rolling from jan to mar and apr since the fiscal cliff deal was reached. Mar will likely stay bid into the debt ceiling negotiations. Tread carefully.
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It was not market moving size.. In any case I'm almost done rolling :)
 
Don’t have exact formula, and I don’t expect it to be a 100% hedge.

Quote from cdcaveman:

my question to you is.. what math brought you to your hedge size in the vxx?
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Quote from macintash:

Don�t have exact formula, and I don�t expect it to be a 100% hedge.
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eyeballing it.. saying.. if this.. then that in your head.. cool just wondering .. probably be just as messy if you put math to it..
 
Quote from atticus:

I like it a lot with the debt ceiling. Otherwise I'd be outright long Feb/Mar, but it looks good with Mar at 150 over Feb and 440 over cash.
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Spent more time than anyone should on figuring out what to do about Mar. I tried playing Jan and while I didn't really get hurt by the cliff I didn't make anything either (still small money; I'm not stupid enough to really do something serious at the stage I'm at now with this thing). I'm thinking I'll wait until Tuesday to do anything, as I've begun to notice a pattern where VIX rises after expiration when it declines sharply into it, like now. As of now though it looks like tomorrow will be yet another down day for the VIX, so maybe I'll set up a Feb long tomorrow and do the short Mar on Tuesday or later.
I agree of course that the trade looks like a good one. Fighting the last war is always a worry though; maybe the fight over the debt ceiling goes into Mar and VIX stays up? Although I suppose a long on Apr would solve that.
Ah well, no rush. Still time to think about this one.
 
Quote from Jgills:

yeah it is a bit disheartening that the trade looks so obvious to do here. where do u get that news from?

do you agree that it is an inexpensive way to be long convexity?

do you have the opposite position on?
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I have no opinion on the fly but i am short march vol in several variations at the moment.
 
Everyone is short march, so maybe its time to go long march...
Quote from rallymode:

I have no opinion on the fly but i am short march vol in several variations at the moment.
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Quote from macintash:

Everyone is short march, so maybe its time to go long march...
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Man such vol opinions...u guys all can't be the only ones shorting march vol in whatever combos..i 'm on the other side longing it..so we will see.
 
Quote from macintash:

Everyone is short march, so maybe its time to go long march...
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Who is everyone? A few traders on ET? The reason why the fly is so wide is because there is some serious size behind the march bid. I don't commit large bets on binary events like these but a repeat of August 2011 would be too obvious of a scenario.
 
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