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VIX fly / spread journal
- Thread starter Jgills
- Start date
Quote from Doobs789:
Hi Jgills. It's been awhile, I hope all is well.
Are you still trading vix futures (post margin hike)?
Hey Doobs yes i am. Ive been more focused in the first 3 spreads. What about you?
And to my previous post since i couldnt edit it, figuring out sizing and defining my risk is another thing ive been working on... how of you estimate your risk of a simple long or short spread?
Quote from Jgills:
for all that follow along here,
what has been the biggest mistake that you've made trading vix?
i think for me it was fear at first, trading something new and different.
2) i used to pay too much attention to curve shape and ignoring other factors like time and levels of vol
A few mistakes:
1 - Focusing on the front months too much. Working on spreading out the action to the further out months.
2 - Tracking the realized vol of VIX. Or not tracking it, actually. I ran a bunch of tests on 2007 and 2008 to see if hedging using the front months as I do would have worked, and it wouldn't have, for the surprising reason that the VIX bounced around too much, so if you made a bunch in one month from hedging by being long the front, you'd lose it the next. So now, I'm tracking the volatility of the VIX and if it goes over its long term average, I'll be exiting altogether.
Quote from trefoil:
A few mistakes:
1 - Focusing on the front months too much. Working on spreading out the action to the further out months.
2 - Tracking the realized vol of VIX. Or not tracking it, actually. I ran a bunch of tests on 2007 and 2008 to see if hedging using the front months as I do would have worked, and it wouldn't have, for the surprising reason that the VIX bounced around too much, so if you made a bunch in one month from hedging by being long the front, you'd lose it the next. So now, I'm tracking the volatility of the VIX and if it goes over its long term average, I'll be exiting altogether.
have you tried including realized vol of spx in your indicator? i've looked briefly at levels of iv vs realized or vix vs realized to help determine exits or entries or to help me set better ratios
Quote from Jgills:
have you tried including realized vol of spx in your indicator? i've looked briefly at levels of iv vs realized or vix vs realized to help determine exits or entries or to help me set better ratios
Yep, I keep track of 10 and 21 day vol on the SPX. 21 day is closest to 30 calendar days. (365-104-10(or 9, this is the no of holidays) =251/12=21)
But this isn't meant so much as an indicator as a kill switch. Having seen the wild swings VIX took in those years, trying to hedge via using the front months would just be a ticket to very high blood pressure and no real gain. Better to just stay on the sidelines.
rally (or anyone else with some input),
if you're around - i know you've said looking at data from 07 is pretty useless, but what do you think about 08? are using closing levels of vix futs at all a reliable proxy of where you could have executed a spread from say august to december 2008? what about 09? i'm just looking at a few things and am trying to figure out the reliability and std error of what i am seeing.
if you're around - i know you've said looking at data from 07 is pretty useless, but what do you think about 08? are using closing levels of vix futs at all a reliable proxy of where you could have executed a spread from say august to december 2008? what about 09? i'm just looking at a few things and am trying to figure out the reliability and std error of what i am seeing.
Quote from Jgills:
rally (or anyone else with some input),
if you're around - i know you've said looking at data from 07 is pretty useless, but what do you think about 08? are using closing levels of vix futs at all a reliable proxy of where you could have executed a spread from say august to december 2008? what about 09? i'm just looking at a few things and am trying to figure out the reliability and std error of what i am seeing.
are you looking at EOD only?