VIX fly / spread journal

Quote from rallymode:

Actually, it's quote possible for the curve[60-90 days out] to steepen into a selloff[mild]. It's somewhat counter intuitive but it certainly flattened into this rally as the back end imploded. If you expect a crash there are much better ways to position yourself without exposing yourself to a curve steepening.

Trading in the VIX futures in '06-'07 was by appointment only so you can't really compare since the micro structure has completely changed.
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"If you expect a crash there are much better ways to position yourself without exposing yourself to a curve steepening."

this is exactly what i'm interested in! haha.... these ways with options.. or differently configured spreads in the futures..
 
Quote from rallymode:

Actually, it's quote possible for the curve[60-90 days out] to steepen into a selloff[mild]. It's somewhat counter intuitive but it certainly flattened into this rally as the back end imploded. If you expect a crash there are much better ways to position yourself without exposing yourself to a curve steepening.

Trading in the VIX futures in '06-'07 was by appointment only so you can't really compare since the micro structure has completely changed.
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yes that is what i thought as i looked at the curve from that time. the volume looked relatively non-existent.

i see you have private messages blocked. is there a way i can talk to you in private? there are some things i'd like to hear your opinion on that i would prefer not to post out in public.
 
Quote from Jgills:

Ive been trying to figure out how to position in the current curve
Im young and dont have enough first hand experience to have witnessed previous times like this in volatilty. Excuse my naive perspective, but it seems like being short the middle to back calendar spreads has little downside as the curve seems to be flattening with no end in sight. Also, looking historically the curve traded flat at 12-15 vols in 2006&2007. Can someone help me to better grasp this current environment?

What downside does short vix calendar spreads in the mid of the curve have here? If we crash it will invert and levels r so low it seems it has no where to go but lower and flatter.

I am very skeptic of my point of view and would appreciate any commentary.

Thanks in advance.
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j, the curve will only invert on real, repeated sustained high vol. those back futures can easily trade as is on even +4 or +5 spot vol price. at the same time i find it hard to see long vol going against you (much) currently either i just don't see back stuff earning bigtime.

really one of the answers is screen time..which you are building up right now. i would suggest some nearer combo stuff if ur bias is higher vol in the near term. truthfully i see so little edge right now also.
 
my bid got hit at 0.52 on the may/jun switch.

I am still long the july/aug and i've scalped some out of it. my cost for my current trade is 0.58.

those are my only positions.

anyone else?
 
hows everyone doing? haven't posted in a while but have been trading. ill post a quarterly update at the end of march. things have been going well for me and im still figuring a lot of things out.. anyone doing anything in the vix right now? lows that havent been seen in a long while
 
long time since i've posted here, but i'm thinking of starting to do it a little more.

i am debating selling the aug/sep/oct fly near 20 into todays close.

i think spx is near the top of its recent range, so if we get a sell off it can be decent in size.

i am choosing these months because i think a long position in july has way too much downside if vols sell off and i think this will be well positioned on any negative news by bernanke tomorrow.

i think my downside is 10-15bp. any opinions?
 
Quote from Jgills:

long time since i've posted here, but i'm thinking of starting to do it a little more.

i am debating selling the aug/sep/oct fly near 20 into todays close.

i think spx is near the top of its recent range, so if we get a sell off it can be decent in size.

i am choosing these months because i think a long position in july has way too much downside if vols sell off and i think this will be well positioned on any negative news by bernanke tomorrow.

i think my downside is 10-15bp. any opinions?
More...



i accepted a fill at 18 a little before the close.
 
Hello, just saw your thread. I have never traded a fly but it looks interesting. My personal opinion/feeling is that VIX 12-16 is over for now and the new range is 15-20. From what you described I believe this would be good for you SPX options fly (that's what you're doing, right?)
 
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