shillllihs
5,974 posts
msg #131656
- Ignore shillllihs |
10/1/2016 12:07:41 PM
Just looked at the results since July 29 and unless I'm wrong, Xiv has won every time
when going short Vix, but Tvix/Vxx does not do as well on long signals. So I would keep
Xiv for short Vix for sure. Maybe a system where you stay out of market when
you think there is a pullback or an allin when Vix is short. This could all be
because Vix is in contango so the trend is up. Maybe don't mess with long
Vix.
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ericeira
23 posts
msg #131657
- Ignore ericeira |
10/1/2016 12:13:47 PM
This is also what i got from SS long VIX for 10/3/16
Side Action OrderType Product Symbol BuyDate BuyPrice GainLoss SystemName
Long Buy Market Stock ^VIX VIX LONG SIGNAL #9
Long Hold Stock ^VIX 9/28/2016 12.9 3.02% VIX LONG SIGNAL #3
Long Hold Stock ^VIX 9/27/2016 13.36 -0.52% VIX LONG Signal #2
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pthomas215
1,251 posts
msg #131658
- Ignore pthomas215 |
10/1/2016 12:16:41 PM
shillihs, thoughts on performance with shorting XIV upon a long vix signal?
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shillllihs
5,974 posts
msg #131659
- Ignore shillllihs
modified |
10/1/2016 12:18:54 PM
Tried Shorting Xiv, won't work.
But knowing when the pullback will occur in Xiv is like the chicken and the egg. If you can't mirror Vix through Vxx.
How can you have any pudding if you don't eat your meat?
In general shorting a long instrument is safer than shorting Tvix or the sort. Mass exuberance will not hurt
you like mass hysteria.
I understand the idea is to find an instrument that tracks Vix, but just pointing out that Xiv does a fine job more or less, and Vxx/Tvix does a poor job.
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shillllihs
5,974 posts
msg #131660
- Ignore shillllihs |
10/1/2016 12:42:00 PM
Here's your final solution. Only play Vix short signals through Xiv with 75-100%.
And if you get future short signals while Xiv is below its recent highs, play 100-200%
Just double up. You are in contango. Thanx.
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pthomas215
1,251 posts
msg #131661
- Ignore pthomas215 |
10/1/2016 1:37:40 PM
I do like that solution. I just wonder how much the SS algorithm is being effected by the FED propping the market up for the election. If VIX long timing were perfect, I wouldnt bring it up.
Think about it in theory...XIV doesnt seem to be effected. only time the timing is off is when volatility is going to increase...that is exactly when the billionaire's boys club would step in to manage the market upwards. just spitballing...thinking Kevin's system may have better timing that it seems...1 month before the election.
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dtatu
143 posts
msg #131662
- Ignore dtatu
modified |
10/1/2016 1:43:59 PM
@gmg733
following your suggestion:
example for Oct 18 Options ( let's take a 5 points spread)
Sell 11call at 4.70
Buy 16call(ATM) at 1.2
Credit 3.5 ( risk is 1.5/5= 30%) at 16 on exp.
The problem I have with this spread is:
1. buying ATM calls , which means I pay 100% time value ( I hate this, as Theta is horribly against me)
2. buying a much more expensive call than I sell !( implied vol of 11 call=around 65% whereas Imp vol of 16 call is 91% ! )
3. The probability of this spread making money( being below 14.5 ( break even point) at the exp) , according to the quotes is only 28 %( delta of 14.5put with VIX Oct contract at 16 , today).
All these, tell me that the odds of a favorable outcome of this spread are not so good, imho.
Did I make a mistake somewhere?
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Kevin_in_GA
4,599 posts
msg #131663
- Ignore Kevin_in_GA |
10/1/2016 1:54:19 PM
I just wonder how much the SS algorithm is being effected by the FED propping the market up for the election.
@pthomas: These filters were based on VIX data from 9/1/2011 through 9/1/2016 - they are not based on any Fed theory regarding the upcoming election.
I am sharing this system and information freely to everyone - however, if this thread even begins to smell of politics I will terminate it. Save the political discourse and conspiracy theories for other forums, as they do not belong here.
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BarTune1
441 posts
msg #131664
- Ignore BarTune1
modified |
10/1/2016 1:54:34 PM
@gmg733
I agree with your last analysis. Selling a deep in the money put would be a decent proxy on a VIX long signal. I'm not so certain that it would be necessary to buy an at the money put. I realize it provides protection on a downside move, but you are going to be paying all premium at that point. My experience tells me that the most significant risk would be an upside spike in the VIX rather than any downside spike. I would think this risk would even be smaller when - presumably - you are trying to play the VIX long on the assumption that it already has experienced a significant pullback.
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Kevin_in_GA
4,599 posts
msg #131665
- Ignore Kevin_in_GA |
10/1/2016 2:01:29 PM
UPDATED SIGNAL REPORT BASED ON CONSENSUS OF OTHER MULTISYSTEM USERS:
SIGNALS FOR MONDAY 10/3/16
A NEW LONG BUY SIGNAL WAS TRIGGERED FROM VIX LONG SIGNAL #9.
| OPEN TRADES | Date Opened | ^VIX Opening Value | Date Closed | ^VIX Closing Value | Net Gain/Loss (%) |
|---|
| LONG ^VIX | 9/27/2016 | 13.36 | - - - - - | 13.29 | -0.52% | | LONG ^VIX | 9/28/2016 | 12.90 | - - - - - | 13.29 | +3.02% | | | | | | | |
| CLOSED TRADES | Date Opened | ^VIX Opening Value | Date Closed | ^VIX Closing Value | Net Gain/Loss (%) |
| SHORT^VIX | 8/29/2016 | 14.07 | 9/8/2016 | 11.76 | +16.42% | | LONG ^VIX | 9/6/2016 | 12.54 | 9/12/2016 | 20.13 | +61.66% | | LONG ^VIX | 9/9/2016 | 12.44 | 9/12/2016 | 20.13 | +60.37% | | LONG ^VIX | 9/13/2016 | 15.98 | 9/14/2016 | 17.63 | +10.32% | | SHORT ^VIX | 9/12/2016 | 20.13 | 9/19/2016 | 15.16 | +24.61% | | SHORT ^VIX | 9/9/2016 | 12.52 | 9/22/16 | 13.41 | -7.28% | | SHORT ^VIX | 9/12/2016 | 20.13 | 9/22/16 | 13.41 | +33.32% | | SHORT ^VIX | 9/14/2016 | 17.63 | 9/23/16 | 12.02 | +31.74% |
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