| StockFetcher Forums · Filter Exchange · A NEW ^VIX TRADING SYSTEM | << 1 ... 12 13 14 15 16 ... 49 >>Post Follow-up |
| Kevin_in_GA 4,599 posts msg #131651 - Ignore Kevin_in_GA |
10/1/2016 9:46:50 AM Kevin, did you get a trigger by VIX long filter #9 for a new ^VIX buy for Monday? Thanks. +++++ I run this on two machines - one gave me the BUY signal and the other didn't (even though as far as I can tell the settings are identical). Given this confusion I opted not to report it - glad to see others are using the SS codes! I would say that if you are seeing it and I am seeing it (at least once) that it might be a viable signal. Anyone else running this on SS and if so what were your results? |
| dtatu 143 posts msg #131653 - Ignore dtatu modified |
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 5.50 bid-5.90 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 143 posts msg #131654 - Ignore dtatu modified |
10/1/2016 10:07:53 AM I think I'll start tracking your signals and trade, as I explained, for a while, on paper, the Futures spreads F1-F2 ,( I'll use only 1 contract in the beginning) using the official open of both to calculate the spread, and let you know, guys, about the results. |
| gmg733 788 posts msg #131655 - Ignore gmg733 modified |
10/1/2016 11:48:14 AM @dtatu Vix is based upon Spx volatility of index options. I've been looking at this surrogate issue a little bit and I think I have a solution, potentially. Before I get into it I preface the conversation with this. I've been selling call spreads on Vxx for several weeks based upon the notion of drag and its affect. Simply put it is a profitable strategy and you get a higher probability of profit if Vix pops above 20. Simply put I was working on this prior to this thread based upon an idea I got from a post on slopeofhope.com Now, before I lay this out I wanna be clear this is the way I trade. I don't want to get into all the details but I trade options a certain way and make money doing it. First thing to note and realize is Vix options have European settlement. If you do not know what that means do not trade options. I'm not being a prick but know the instrument you are trading. In short they trade like American options but settle like European. So no risk of assignment. Check! For Vix short signals, sell an ITM call spread where the sell is deeper in the money and the buy is at the money. For Vix long signals, sell a deep in the money put and buy an at the money put. Why? Great question. For defined risk trades it is less about volatility mean reversion and more about a direction play. In this case selling a put spread is bullish and your hoping the Vix pops or goes up. Inversely, you sell the call spread if you feel volatility will drop or mean revert. In short, it becomes a delta trade with the benefit of theta not hitting you over the head. What scares me is the put spread. Collapsing vol in the call spread will help this trade. But I have not figured out just yet what expanding vol will do to the put spread. My hypothesis is it will be more of a delta trade. I have not traded Vix option this way yet. I'm trying to ascertain the best way to paper trade it. Right now I'm thinking of a risk one to make one risk/reward ratio. More work to be done here on my end. Dissenting opinions are welcome. |
| shillllihs 6,093 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. |
| 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 |
| 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? |
| shillllihs 6,093 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. |
| shillllihs 6,093 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. |
| 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. |
| StockFetcher Forums · Filter Exchange · A NEW ^VIX TRADING SYSTEM | << 1 ... 12 13 14 15 16 ... 49 >>Post Follow-up |
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