VIX fly / spread journal

there was a good amount of volume coming in when the curve went flat and dipped into backwardation intraday last week, maybe someone important got caught up! or be related to ETF's too, CS vol desk might need some help :p
 
Quote from rallymode:

I am not a conspiracy buff but this has a hidden agenda written all over it. I will be very interested in doing some digging around in my circles when i get back from vacation.
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I talked to the guy who put out that circular...he was timid, clueless and odd. U can surely afford to make some calls from the local cafe..cmon!

$8,000 margin per fly long vol? There clearly needs to be people there who understand risk measures ..
 
Quote from sellindexvol66:

I talked to the guy who put out that circular...he was timid, clueless and odd. U can surely afford to make some calls from the local cafe..cmon!

$8,000 margin per fly long vol? There clearly needs to be people there who understand risk measures ..
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I used up all my quarters making wire transfers for the pending margin calls i am about to receive after the close.
 
i don't see the new requirements effective yet.

has anyone experienced hikes like this before? would they not come until 9:30 when spot and options open? or is there some other press release im missing?
 
Quote from Jgills:

i don't see the new requirements effective yet.

has anyone experienced hikes like this before? would they not come until 9:30 when spot and options open? or is there some other press release im missing?
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i just spoke to the guy Jim (his name is on the bottom of the circular) - it is effective at the close today and it is planned to be something permanent per OCC's "new risk model and CFTC regulations"
 
obviously the impact on volume will be significant if they keep this permanently, where does that money that was active on these spreads go... moving into options might not be viable for all strategies, any ideas? I know i'm not very active on here, mostly because of timezone, but been reading and following most of the contributors to this thread for a while
 
Quote from Jgills:

i just spoke to the guy Jim (his name is on the bottom of the circular) - it is effective at the close today and it is planned to be something permanent per OCC's "new risk model and CFTC regulations"
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he just called..live on close, press release any time on cfe site. as an eternal optimist, i hold out hope rally has some point to this...but still i flattened in to less size.
 
two separate things here:

1. where to get all the quarters?
2. r u comfortable with a large pot of margin equity money sitting on the broker's account?

njrookie
 
Quote from dxbtrader:

obviously the impact on volume will be significant if they keep this permanently, where does that money that was active on these spreads go... moving into options might not be viable for all strategies, any ideas? I know i'm not very active on here, mostly because of timezone, but been reading and following most of the contributors to this thread for a while
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this is bad for smaller players (small hedge funds, people trading their own money, etc..) as it now significantly reduces their potential return on capital and their capital is limited.

this is good for larger players (large hedge funds, banks) as their ROC is also reduced, but capital can be relatively (to the smaller guys) endless.

positions will need to be much better timed and calculated as you can't hold nearly the size or add nearly as much.

i think the volume impact in spread trading is large at first, but the gap can quickly be filled by larger banks and hedge funds if they step in. The problem is really where people see risk/reward being appealing enough in the new capital requirement regime.

a solution for the smaller guy who is good is finding OPM or going to work at one of these funds/banks.

just my 2c. what do u guys think?
 
Quote from Jgills:

this is bad for smaller players (small hedge funds, people trading their own money, etc..) as it now significantly reduces their potential return on capital and their capital is limited.

this is good for larger players (large hedge funds, banks) as their ROC is also reduced, but capital can be relatively (to the smaller guys) endless.

positions will need to be much better timed and calculated as you can't hold nearly the size or add nearly as much.

i think the volume impact in spread trading is large at first, but the gap can quickly be filled by larger banks and hedge funds if they step in. The problem is really where people see risk/reward being appealing enough in the new capital requirement regime.

a solution for the smaller guy who is good is finding OPM or going to work at one of these funds/banks.

just my 2c. what do u guys think?
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never opm and never worked for another...just will be more selective and work different vol curves..and possibly live on less usa cash.
 
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