VIX fly / spread journal

as mentioned, here is my YTD performance for the first half of the year.

things got a little choppy for me recently as i'm still figuring things out, but thanks to everyone for their help along my way.


heading on vacation next week, hope you're all having a good year.
 

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I heard that a couple of large players in the space had been pushing for an increase over the past 12 months. I am assuming the intent is to reduce the spread size that has saturated the book as of late. I can certainly agree that it has become increasingly difficult to fill any meaningful size until the last 15 mins unless the ES moves violently.

Having said that due to the new method, it seems that not only are the margins here to stay but will only get worse should the vol pick up further. The way things turned out may actually backfire as the margins are now spit out by a formula, but it is what it is. Personally I am not too sure yet whether i like this or not since it may actually open the ranges back up. I'd rather be able to fill all the size i want when i want even if it comes at higher cost of capital.

Best advice, If you are going to continue to trade these in size you cannot afford to be with IB as the margins could change on a daily basis. Go to a broker that does margin calls or move on to another product. I will not name the broker due to the relationship i have but i had 2 full days until i satisfied my margin deficiencies [7 figures] and could have possibly been given another one.
 
Quote from rallymode:

I heard that a couple of large players in the space had been pushing for an increase over the past 12 months. I am assuming the intent is to reduce the spread size that has saturated the book as of late. I can certainly agree that it has become increasingly difficult to fill any meaningful size until the last 15 mins unless the ES moves violently.

Having said that due to the new method, it seems that not only are the margins here to stay but will only get worse should the vol pick up further. The way things turned out may actually backfire as the margins are now spit out by a formula, but it is what it is. Personally I am not too sure yet whether i like this or not since it may actually open up the ranges back up. I'd rather be able to fill all the size i want when i want even if it comes at higher cost of capital.
More...

don't know if you saw this

http://vixandmore.blogspot.com/2013/06/vix-futures-margin-requirements-to.html
 
Quote from rallymode:

I heard that a couple of large players in the space had been pushing for an increase over the past 12 months. I am assuming the intent is to reduce the spread size that has saturated the book as of late. I can certainly agree that it has become increasingly difficult to fill any meaningful size until the last 15 mins unless the ES moves violently.

Having said that due to the new method, it seems that not only are the margins here to stay but will only get worse should the vol pick up further. The way things turned out may actually backfire as the margins are now spit out by a formula, but it is what it is. Personally I am not too sure yet whether i like this or not since it may actually open the ranges back up. I'd rather be able to fill all the size i want when i want even if it comes at higher cost of capital.

Best advice, If you are going to continue to trade these in size you cannot afford to be with IB as the margins could change on a daily basis. Go to a broker that does margin calls or move on to another product. I will not name the broker due to the relationship i have but i had 2 full days until i satisfied my margin deficiencies [7 figures] and could have possibly been given another one.
More...

i for one would rather put up more capital and have possibly wider price ranges. i hope that comes to pass..

also..your advice is very good..its time to move on from ib.
 
I am not seeing why the spreads will get better. If there are less players then I would think the spreads get wider.

How can more players, even if they are little, make the trading worse?

All I am certain is that I will have to scale way back on my trading.

For an account with $100k can anyone offer some ideas on what they may do differently to manage it? I would think being patient for a better setup would be key and be slower to add to a postion for fear of being the weak hand and forced out.

The carrot seems like it got moved for the little guys.

A poster said he woud leave IB over this(I use IB) I don't see how that helps since it is the exchange that changed the requirement and not the broker. Can someone explain why given the change a new broker may be of benefit.
 
Quote from drenaud:
I am not seeing why the spreads will get better. If there are less players then I would think the spreads get wider.

How can more players, even if they are little, make the trading worse?
......
A poster said he woud leave IB over this(I use IB) I don't see how that helps since it is the exchange that changed the requirement and not the broker. Can someone explain why given the change a new broker may be of benefit.
More...

Wider spread means inefficiency. That can be an edge.

....

IB will force liquidate you in a moments notice because you are just customer #U7601212111, whereas with a broker where you have a relationship they will (likely?) give you time to make whole.

Some posters on ET have documented being force liquidated at IB, and of course that would probably be at the worst possible time (i.e. bad fills, wide spreads, illiquid hours). Personally I trade at IB and I don't mind their policy, but I also don't trade in million $ notional value or have fine tuned strategy/margin expectations.

It's just different risk management policies (for both the trader and the broker).
 
a little ballsy.. maybe should have gone a little further on the curve, but sold jul/aug 1.54

this has a pretty tight stop on it.
 
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