VIX fly / spread journal

well, it went way higher than where i put it on. up to about 1.3. i added a little bit around 1.1, but i'm unwinding the majority here around 0.72. too bad i was way too early.
 
Hi, nice journal you guys have going here. I dabble in vxx and some futures spreads, but am still relatively new to volatility products. I'm curious what your outlook is on jan/feb/march??

If I was of the opinion of continued central bank accomodation, a Hillary victory and overall neutral/lower volatility, irrespective of the shape of the curve, I would then want to be +jan/-2 feb/+march, correct?? That is, if I don't want to take a position in anything prior to Dec contract.

That said, I am -oct/+nov from .80, but I have options on that bring my 'cost' much higher, somewhere around 1.06. I trade/scalp around the options and vxx, adjusting my cost.
 
Last edited:
What a move! I was being greedy and was aiming to hold Oct/Nov to 2.00. Ended up barely scratching at .91 (original long from .80 but hedges and such brought my cost to .90). It was trading 1.39 yesterday, oh well.

I'm now +jan/-feb from .32 , its currently positive at .26 but I'll have a short hook on this and look for a reversal in the market.
 
these days have been pretty slow for me. im not messing around in spreads for now, but just some outright vix futures in the middle of the curve. has anyone been doing much?
 
You must log in or register to reply here.
Back
Top