StockFetcher Forums · Filter Exchange · A NEW ^VIX TRADING SYSTEM<< 1 ... 14 15 16 17 18 ... 49 >>Post Follow-up
pthomas215
1,028 posts
msg #131666
Ignore pthomas215
10/1/2016 2:48:04 PM

kevin, just looking for a solution on why the long vix signal has not worked recently. didnt mean to offend brother !

gmg733
616 posts
msg #131667
Ignore gmg733
modified
10/1/2016 3:37:27 PM

@dtatu

I don't sell near dated options due to gamma risk. So I'm looking at November options as a start.

The ATM option is defining your risk. That is why it is in there. I trade naked calls and puts all the time, just not in the VIX. Theta according to TOS is about the same. Defined risk trades synthetically get your delta directional. This is a delta play. The system triggers a VIX long signal. Right now there are two signals. If you sell the put spread at a risk/reward of 1:1, say buy the Nov 13.5 and sell the Nov 16 put your max profit is 115.00 and your risk is 135.00. I do not play to hold to expiration. On spreads I take my money off at 40-50% profit. If the VIX pops you should be out quickly.

In my example above, I show the implied vol for the 16 @ 60% and for the 13.5 @ 54% on TOS. Again, I'm not looking at calls right now since the VIX is around 13 and we have VIX long signals. But I would be selling a more expensive put in this case.

Overall here are the numbers on the trade: Probability of profit is 31%, Theta is -.27, Delta is around 38

Again, I'm making the assumption the VIX will pop based upon Kevin's system. So the probability of profit at 31% does not bother me. And I don't plan on hold to expiration. Only suckers hold credit spreads to expiry.

@BarTune1

As I mentioned above, the long instrument is just defining the risk. Thinking about it, since vol is mean reverting it may make sense to not have the long instrument. I by no means have this figured out. And yes I am assuming VIX is at a low. But again, I'm only looking for an alternative for Kevin's system.

I know that selling ITM call spreads on VXX has been profitable. The natural drag and the fact the defined risk is a delta play coupled with favorable theta it is like an ATM machine.



Kevin_in_GA
4,536 posts
msg #131668
Ignore Kevin_in_GA
10/1/2016 3:53:39 PM

kevin, just looking for a solution on why the long vix signal has not worked recently. Didn't mean to offend brother

No offense taken. I know that emotions are running high for this election, and I am making a conscious effort to prevent this system from being affected by that. Trading should be apolitical and emotionless - any other approach leads to poorer performance.

As to the long VIX signals - I would respectfully disagree that there are issues. There have been three closed long VIX trades, all profitable, and two open trades with one profitable and the other down less than 1%. I had much more concern about the last three short VIX signals, which were deep in the red for a while before closing profitably.

mahkoh
888 posts
msg #131669
Ignore mahkoh
10/1/2016 4:21:19 PM

dtatu
14 posts
msg #131653
- Ignore dtatu 10/1/2016 9:52:15 AM

mahkoh,
re.For long signals sell deep in the money ^VIX calls 2 - 3 weeks out. The premium involved is usually over 70 % so you have a big time decay advantage:

I also noticed that, actually, VIX Options have their underlying the VIX Futures and not VIX spot: if you look at the Oct 18 expiration, you will notice that the option which has a delta of 50% ( the At The Money) is the 16 Call ( the price of the Oct futures) and not the 13.5 call ( the price of the Vix index).
This means that : VIX index has options based on the price of the VIX Futures ? that's really confusing ( like many other things in VIX).

In conclusion, your plan to sell deep in the money options for their High Time premium seems to have no validity, as , for example, Oct 18 10 call goes for 15.50 bid-15.90 ask ( underlying Oct VIX future at 15.95) which is actually at a discount, with Zero Time premium in it and 100% Intrinsic value!);
this would make the case for using deep in the money options to mimic the VIX futures (not the index, though);
but then ,why bother with options instead of going long the Futures?

******************

dtatu, thanks for pointing this out, I hadn't noticed this yet but it makes sense. Check this article, specifically point 5:

https://sixfigureinvesting.com/2010/01/trading-vix-options/

And you were correct on another thing, I did indeed mean to sell calls upon a short signal, not a long.

Also interesting:

http://www.vixstrategies.com/strategy/

Where they state that "the only way to directly gain exposure to spot VIX is through S&P 500 index options". Possibly that is why SPXS is the most correlated asset in this filter?

Fetcher[
add column corr(^VIX,20,close) is above 0.9
sort column 5 descending
]








shillllihs
3,518 posts
msg #131670
Ignore shillllihs
10/1/2016 4:45:33 PM

Check to see how Vxx/Xiv perform in times of backwardation. It could be very telling
if Vxx outperforms Xiv.

dtatu
69 posts
msg #131676
Ignore dtatu
modified
10/2/2016 11:04:08 AM

@gmg733

Totally agree with your arguments ( I used "options 2-3 weeks out of the other post (mahkoh),without realizing that you did not specify the duration of options you use)
- I also agree with taking profits quickly( I usually close half at 50% ,then the other half at 75% profits)

Imho, the only reasonable instruments to use for this system are options spreads or futures spreads or other hedged instruments, because, as Kevin says, those open drawdowns already seen in 2 short trades are actually nothing, compared to the worst case scenarios, seen in the past( take a look at those Wild , fast swings in 2008, 2011 : without stops you could be out of money just by being once only on the wrong side of the market)

Kevin_in_GA
4,536 posts
msg #131679
Ignore Kevin_in_GA
10/2/2016 2:23:27 PM

Imho, the only reasonable instruments to use for this system are options spreads or futures spreads or other hedged instruments, because, as Kevin says, those open drawdowns already seen in 2 short trades are actually nothing, compared to the worst case scenarios, seen in the past( take a look at those Wild , fast swings in 2008, 2011 : without stops you could be out of money just by being once only on the wrong side of the market)
++++++++

I think that proper position sizing is important - the system allocates between 5-10 "units" based on trade signals, so that should mitigate some of the concerns. A 50% drawdown in 1 unit translates to only a 6-12% drawdown in total equity, depending on your number of units traded.

mahkoh
888 posts
msg #131684
Ignore mahkoh
10/2/2016 3:38:14 PM

Sell the Oct18 10 call for 5.90, buy the 23 call for 0.40 as insurance against apocalypse and your max risk is $ 750. All else remaining equal the value of the futures should drop to spot VIX value at Oct19 expiration and you stand to make some $250. A 3/1 risk/reward ratio is not bad for an option selling strategy in my opinion.

dtatu
69 posts
msg #131685
Ignore dtatu
10/2/2016 3:47:19 PM

mahkoh

I thought the VIX future has a multiplier of 1000?
Then, 23-10=13-5.9=7.1+0.4=7.5 x 1000= 7 500 $ risk
Am I wrong?

Also , you give yourself too little time, with the short option deeeeeep in the money?

dtatu
69 posts
msg #131686
Ignore dtatu
10/2/2016 4:08:16 PM

Anybody has any idea about :

Vix futures daily chart ( let's say VIX Oct 2016 contract): The OPEN represents what time of the day??

If we take Sep 30 : the Open is ? ( I see on the contract description an almost 24/24 hour session , with a break from 15.15-15.30 every day? The Open of Sep 30 is Sep 29 15.30??( extended hours) or Sep 30 7.30 AM ( regular hours)

What about e mini SP (ES) daily chart :the open Sep 30 is Sep 29 18.00 or ??

Thanks for the help

StockFetcher Forums · Filter Exchange · A NEW ^VIX TRADING SYSTEM<< 1 ... 14 15 16 17 18 ... 49 >>Post Follow-up

*** Disclaimer *** StockFetcher.com does not endorse or suggest any of the securities which are returned in any of the searches or filters. They are provided purely for informational and research purposes. StockFetcher.com does not recommend particular securities. StockFetcher.com, Vestyl Software, L.L.C. and involved content providers shall not be liable for any errors or delays in the content, or for any actions taken based on the content.


Copyright 2016 - Vestyl Software L.L.C.Terms of Service | License | Questions or comments? Contact Us
EOD Data sources: DDFPlus & CSI Data Quotes delayed during active market hours. Delay times are at least 15 mins for NASDAQ, 20 mins for NYSE and Amex. Delayed intraday data provided by DDFPlus