StockFetcher Forums · Filter Exchange · A NEW ^VIX TRADING SYSTEM<< 1 ... 2 3 4 5 6 ... 49 >>Post Follow-up
mahkoh
888 posts
msg #131032
Ignore mahkoh
9/9/2016 6:28:39 PM

Thanks, gmg. Probably the greeks are involved, but I'm sure I was overlooking the elephant in the room: The insane premium involved with these options. 70 % extrinsic value for an option that is 15 % in the money..
Compare this to for example CVX, at $101. The 15 % in the money Oct 85 strike calls trade for $ 17.00, resulting in 5 % extrinsic value.


Kevin, you could use the symbol function to generate signals from ^VIX and run the multisystem against a sector that is made up of XIV and VXX to see how that compares to the original?

shillllihs
3,518 posts
msg #131034
Ignore shillllihs
9/9/2016 6:39:05 PM

Or just create a system based on Xiv/Tvix all my plays are based off of using Tvix as a model.

compound_gains
152 posts
msg #131036
Ignore compound_gains
9/9/2016 8:12:32 PM

Churn is the curse of options, as it has been for the past 40 odd days with SPY and VIX.

Kevin_in_GA
4,536 posts
msg #131038
Ignore Kevin_in_GA
9/9/2016 9:11:59 PM

SIGNAL UPDATES FOR MONDAY (9/12/16) AT THE OPEN:

A NEW SHORT SELL SIGNAL has been triggered from VIX SHORT FILTER #4

THE 2 LONG POSITIONS FROM VIX LONG SIGNAL #1 and VIX LONG SIGNAL #2 ARE TO BE SOLD AT THE OPEN ON MONDAY (up 40.9% and 39.78% respectively).

These are the first signals to be closed - I will track the performance of all trades (open and closed) as we move forward to keep things honest. Just the usual reminder that these signals and results are for the ^VIX - you need to trade this based on what is most comfortable for you (VXX/XIV, options, futures).

THE CURRENT SHORT POSITION ENTERED ON 9/9/16 FROM VIX SHORT FILTER #2 CONTINUES TO BE HELD (down 39.78%)

That means on Monday all open positions will be shorting the ^VIX.



mahkoh
888 posts
msg #131053
Ignore mahkoh
9/10/2016 4:27:30 AM

Many times in the past VIX spikes were capped halfway between the recent high and low. If this is to happen again this one should top out around 19.

pthomas215
1,028 posts
msg #131070
Ignore pthomas215
9/11/2016 12:23:17 PM

From a Money Morning article today....

""Whether Friday's sell-off is the end of the unprecedented period of low volatility they we saw this summer remains to be seen.The VIX popped five points (40%) yesterday to 17.50 but is still below its long-term average of 19 or so.""

Manoh, it appears you are correct on that 19 number for the VIX.

gmg733
616 posts
msg #131075
Ignore gmg733
9/11/2016 2:23:06 PM

Learned an interesting fact about presidential (and this year I use that term loosely) is in the past 17 elections the market has been down a minimum of 5% prior to November and on average 11%. I don't know if the 11% took into account the 2008 outlier move or not. Nonetheless, always good to try and maintain a little short delta. Most of these moves last 5-7 weeks.

I hope vix does not go back to the teens. What a lot of folks don't realize is no one really makes money when vol is so low. When we have healthy vol everyone long or short and make some bucks.

shillllihs
3,518 posts
msg #131113
Ignore shillllihs
9/12/2016 2:11:00 PM

Good system. Did you pull the trigger?

What are the current signals?


Kevin_in_GA
4,536 posts
msg #131126
Ignore Kevin_in_GA
9/12/2016 8:59:22 PM

SIGNAL UPDATES FOR TUESDAY (9/13/16) AT THE OPEN:

1. A NEW LONG BUY SIGNAL has been triggered from VIX LONG FILTER #9

2. THE 2 OPEN LONG POSITIONS WERE SOLD AT THE OPEN ON MONDAY (CLOSING up 61.66% and 60.37% respectively).
If you were trading VXX your gain would have been 13.98% and 12.77% - not too shabby.

3. THE THREE CURRENT SHORT POSITIONS (ONE ENTERED ON 9/9/16 AND TWO ENTERED ON 9/12/16) CONTINUE TO BE HELD (the first down 21.09% but the other two up 24.69%).

shillllihs
3,518 posts
msg #131127
Ignore shillllihs
9/12/2016 9:54:00 PM

A couple questions, you have a max hold time of 10 days regardless if exit has triggered or not?
What does it mean when there is a a 2 in the exit column. Any relavence?

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