VIX fly / spread journal

speaking for myself; i endeavor to enter combo's as "edge entries". there is little edge in a straight out pair that needs a sell off. you want to line it up with another pair as you already know. the question is..can the lineup be an edge price that regardess of market direction it will earn money?

again, i trade these with less directional dependence..but it takes time and size. time i have; but with the new margins i'm really cut back and considering other things or strats.
 
looking at whats going on in the market today, i wouldn't say the general thesis of my strategy was that far off. i think the main problem was the actual prices that i executed on. i should have been more patient to wait for things to calm down before rushing in, but i will admit that in the moment i didn't really forsee things calming down prior to the event because i didn't think the politicians would have the ability to calm things down as well as they did.

i'll have to do things better in this type of approach next time.
 
this is no edge predicting politicians, especially just in front of expiration.

1. you do not know what they will do;
2. when they will do it;
3. how much certainty/uncertainty they want to create/destroy b/f expiration.

move on. do not regret. just do not do it next time.
 
Quote from njrookie1:

this is no edge predicting politicians, especially just in front of expiration.

1. you do not know what they will do;
2. when they will do it;
3. how much certainty/uncertainty they want to create/destroy b/f expiration.

move on. do not regret. just do not do it next time.
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thx njrook -

the only consideration of politics that i put towards my original trade decision, was that it would take the politicians until the deadline to figure it out and that the undecided event would keep a bid on vol at some level and enough to maintain spot vix > front futs. essentially my play WAS that the index would be higher than the futs because of this event risk.

i think that type of view is pretty consistent for the environment we are in (proctrastinating politicans), and thats why i was comfortable with it.

the problem i see in my view was that i didn't consider what the market would do in the interim nor what absolute levels of vol were actually too high or too low. i thought that the levels we saw last week would be the only levels or higher until a decision was made, which was clearly a naive view to take as the poltiicans came in setting and changing market expectations.
 
Quote from rallymode:

I may put in another effort over the winter if I get too bored.
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Word is there's relief coming sometime next quarter. Quite a bit of red tape involved so hang tight.
 
Quote from rallymode:

Word is there's relief coming sometime next quarter. Quite a bit of red tape involved so hang tight.
More...

been just trading option cals.. been doing alright.. 150 in margin req on a horizontal.. better for my small account anyway.. i know there is skew risk etc etc.. and its far from as clean as outright futures spreads.. but it works for me.. i can put a full curve play with options with a shit load less money.. when it comes down to it its about variance to margin... the futures spreads are less then a third the variance to margin ratio as options now.. thats just my rough calculations.. and one spread in the back month is 5500 at ib which is way outside what i can bare for one position in my account. i'm small.. i know all the arguments against options.. but whatever its working..

correct me if i'm wrong here..
 
so i put a dec/jan 16 strike call cal into that last spike for .45 cents.. sold it for .90 cents.. while the futures contracts with the same expiry producted about .65 cents in profit as oppose to the .45 cents i made..

thats 45 bucks on 150 in marg req.. against 650bucks on 5500 in margin

options spread hit 30 percent on margin.. futures.. 11 percent...

the overall level of vol supersedes alot of the slightly more complex strike risk/ skew risk stuff related to options .. imo
 
Quote from rallymode:

Word is there's relief coming sometime next quarter. Quite a bit of red tape involved so hang tight.
More...

thanks for updating us rally.

are they keeping the same OCC as regulator and simply reworking the risk parameters on spreads; or is cfe gonna take back decision making and also "relieve" the margins to correct mathematics?
 
does anyone have any opinions on whats been going on in the front end of the curve this past week?

are vol levels perceived to be too low and people are interested in buying dec, hence lowering the front spread/fly a lot? its weird because no other month-to-month spread is having a flatenning like we're seeing in dec/jan and i'd like to hear other thoughts.

my op (and the naive one) is that people see the dec absolute level (~13.7) as being too low w this much time to maturity, so they are buying it and just continuing the selling elsewhere on the curve.

the strength in dec has just been so strong that i don't think it can be due to one person or another unwinding/initiating a position.
 
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