VIX fly / spread journal

SupportTheResistance said:
I'm new to VIX spread trading. What software do you Jgills and others use to chart the VIX calendar spreads? I can't seem to figure it out through IB.
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honestly i've built my own tools / spreadsheets for doing the proper analysis on this stuff. i dont use much of IB's analytics for these spreads, i only use their execution tool.

anyone still around? ive built up a little position in the sep/oct/nov fly (long wings) and am watching what happens next.
 
Sorry being new to this, for example say we find that Dec futures are trading at a discount to Nov's - would taking advantage of this mean short nov/long dev - so like a long calendar so to speak? Though I (think) understand its unlike option calendars, since the term structure can invert and you could lose more than the debit

Would starting with studying how news and large price moves affect the term structure be a good starting point in learning how to trade these VIX switches?
 
that is a fine way to take advantage if you think one future is cheap vs another. yes, the term structure can invert and you can lose a lot. a good start would be reading the vix white paper and about variance swaps.

quick re-cap on the trade i had done, i took some pnl on the way lower in the sep/oct spread (covered 2 @ 69), but with the larger move down in the oct/nov spread the position is currently a net loser. i now have a ratio fly and will look to exit today.
 
Jgills said:
that is a fine way to take advantage if you think one future is cheap vs another. yes, the term structure can invert and you can lose a lot. a good start would be reading the vix white paper and about variance swaps.

quick re-cap on the trade i had done, i took some pnl on the way lower in the sep/oct spread (covered 2 @ 69), but with the larger move down in the oct/nov spread the position is currently a net loser. i now have a ratio fly and will look to exit today.
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that position didn't work as expected. as others on here have mentioned before i should stop messing around in the front spread this close to expiry and this was a good way to get me to stop.
 
Do any of you all trading vix with IB know of a workaround to see a chart with the actual native spread pricing? I have only been able to pull ones based on the synthetic spread so it is in 5 cent increments. I would like to get a little more detailed view or to see the depth at least. I was a little disappointed that it isn't offered.
 
FCXoptions said:
Do any of you all trading vix with IB know of a workaround to see a chart with the actual native spread pricing? I have only been able to pull ones based on the synthetic spread so it is in 5 cent increments. I would like to get a little more detailed view or to see the depth at least. I was a little disappointed that it isn't offered.
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In a TWS watchlist, pull up the quote for VIX -> Combinations -> Futures Spreads (Directed) -> CFE, and select the calendar(s) you want. Then, e.g., right click -> Charts -> New Chart to chart it. When there is enough liquidity the NBBO will show the 1c spread you are looking for.
 
njrookie1 said:
TT and CQG can chart spread at 1c increment.
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I would love to be using one of those, but can't justify it currently. I have used CQG for a little while elsewhere and really liked it a lot. I have only done a demo with TT so no actual trading in it. It seemed very good also though.

noregrets said:
In a TWS watchlist, pull up the quote for VIX -> Combinations -> Futures Spreads (Directed) -> CFE, and select the calendar(s) you want. Then, e.g., right click -> Charts -> New Chart to chart it. When there is enough liquidity the NBBO will show the 1c spread you are looking for.
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Hmm, I will give it another shot. I tried looking the other day during normal hours on the front spread, and the chart wouldn't even load in TWS for some reason. Once I did finally get a chart to load it was still in the 5c increments. It is kind of annoying how you can't view the native spread pricing on the mobile or web platform without already having a pending order.

Thanks for the help and sorry to get a little off topic.

I am in the Nov/Dec spread currently, waiting to see how things go this week.
 
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