VIX-Trading. What is the best way to make money?

[gg12]

I am happy to post my trades.
... and I apprechiate feedback.

Currently I have:

-4 C15/3 1.18 (settlement value)
2 C13/3 2.87

2 C15/4 1.54

10 P10/3 0.04
-2 P12/3 0.33

That's it.

 

[gg12]

ktm

I agree with you. Volume in futures is poor.

But there is good volume on options. VIX reached the top 20 volume ranking yesterday (#1 Qs). Should be sufficient!

See the top 200 at ivolatility.com

 

[gg12]

Wide swings on VIX

they translate about
50% into the VIX March future
25% into the VIX April future
in absolute points

 

[gg12]

Current positions:

-4 C15/3 4.66 (+294% change vs. 1.18)
2 C13/3 6.65 (+131% gain vs. 2.87)

2 C15/4 4.72 (+206% gain vs. 1.54)

10 P10/3 0.028 (-30% vs. 0.04)
-2 P12/3 bought back for 0.10 (0.33)

--------------------------------------------------

Closed position P/L calculation
P12/3 (Put Strike 12 March)

2*$33=$66
2*$10=$20

Gain $44
Commission 2*$1.5=$3
Net Gain $41

 

[gg12]

-4 C15/3 .74
2 C13/3 1.40
2 C15/4 1.22
10 P10/3 .02


Delta C15/4 - C15/3 = .48 (Timespread)
Delta C13/3 - C15/3 = .66 (Strikespread)

 

[gg12]

Nice swings.

 

[gg12]

Based on historical data of the last 10 days there is following possible system for the VIX:

Enter when wave reached a length of .5
Trail .5 on grid
no Profit Target

Potential Profit 24 (no gaps)

 

[gg12]

Attached the graphics with 'real' data.

System is currently long.

 

[gg12]

VIX options implied volatility is very high.

Puts have a much higher IV than calls.

Stikes 15, 16, 17, 18 April (Call IV/Put IV)
56/118, 71/123, 72/129, 80/135

http://www.ivolatility.com/options.j?ticker=vix&R=0

 

[gg12]

I more and more get the impression, that writing naked puts is a good strategy for the VIX.

If money management is applied it could work very well.

Any thought about that strategy from your side?