VIX trade for 8/18 exp

[atticus]

Quote from atticus:

Long 10 shares per contract from 238.57 avg.

Out at 6.60 with small hedge gain. No position in AMZN.

 

[atticus]

I won't recommend a naked straddle for others, but I am short size in the NFLX Oct 145 straddle from 28.75 average:

 

[Jerkstore]

Quote from atticus:

I won't recommend a naked straddle for others, but I am short size in the NFLX Oct 145 straddle from 28.75 average:

I applaud your iron balls.

Unless my entire trading account is for speculative purposes, I'd never be able to sit on a short straddle in NFLX.

 

[kinggyppo]

ripping right now short cove?

 

[newguy05]

Quote from atticus:

I won't recommend a naked straddle for others, but I am short size in the NFLX Oct 145 straddle from 28.75 average:

wow atticus! that was a surprise trade from you :eek:

 

[sle]

Quote from atticus:
Long Oct VIX // short VXX from -980bp. 6x5 favoring Oct VIX.

out of curiosity, what metric do you use to say that it's Oct VIX is cheap compared to VXX and how did you come up with the ratio?

 

[Jerkstore]

Quote from sle:

out of curiosity, what metric do you use to say that it's Oct VIX is cheap compared to VXX and how did you come up with the ratio?

I'm curious about this as well. Where's the value in trading these against each other?

We do trade the VXX against the futures, but only as an extra venue for added liquidity when hedging our options trades. You can find the VXX formula, but it is adjusted daily as they roll the futures. There was a time when the etf would fluctuate maybe 10 or even 20 cents through "value", but I haven't seen enough edge in that trade to make up for slippage and trading costs in at least 9 months.

So an OCT VIX future vs VXX position is a cost and haircut heavy way of replicating an OCT/NOV vix future spread.

What am I missing here?

 

[EdwardMBlake]

Quote from EdwardMBlake:

Almost all of them.

Will turn these into free trades today, plus a little cash.:eek:

 

[atticus]

Quote from atticus:

I won't recommend a naked straddle for others, but I am short size in the NFLX Oct 145 straddle from 28.75 average:

Bought to close today at 24.15. +4.60.

 

[sle]

Quote from Jerkstore:
So an OCT VIX future vs VXX position is a cost and haircut heavy way of replicating an OCT/NOV vix future spread.

Now, looking at relative value in vol is a different game there - VIX futures options vs VXX options is a pretty good game if you know how to play it.