| StockFetcher Forums · Filter Exchange · A NEW ^VIX TRADING SYSTEM | << 1 2 3 4 5 ... 49 >>Post Follow-up |
| BarTune1 441 posts msg #130923 - Ignore BarTune1 |
9/7/2016 9:50:58 AM Kevin, It might be useful to consider Larry Connors comments: http://tradingmarkets.com/recent/how_to_trade_volatility_-_part_1_vxx-1580168.html He suggests backtesting of the ^VIX is irrelevant in trading the VXX. Most of my systems for trading the VXX are based on signals based on the VXX. I have found ^VIX signals (extended) useful in trading the SPY. Perhaps you can find a way of trading the SPY, leveraged etfs or options on the SPY based on your ^VIX signals? |
| gmg733 788 posts msg #130944 - Ignore gmg733 |
9/7/2016 5:18:48 PM VXX is irrelevant in regards to ^VIX because VXX is based upon the futures contracts which have a cost to carry creating a drag on the instrument. Ie., it is a horrible long instrument unless you are 100% correct and you get a big move. From the prospectus (http://www.ipathetn.com/US/16/en/details.app?instrumentId=259118): Your ETNs Are Not Linked to the VIX Index: The value of your ETNs will be linked to the value of the underlying index, and your ability to benefit from any rise or fall in the level of the VIX Index is limited. The index underlying your ETNs is based upon holding a rolling long position in futures on the VIX Index. These futures will not necessarily track the performance of the VIX Index. Your ETNs may not benefit from increases in the level of the VIX Index because such increases will not necessarily cause the level of VIX Index futures to rise. Accordingly, a hypothetical investment that was linked directly to the VIX Index could generate a higher return than your investment in the ETNs. |
| Kevin_in_GA 4,599 posts msg #130945 - Ignore Kevin_in_GA |
9/7/2016 6:09:22 PM @GMG - thanks. I (perhaps like many others) thought that VXX tracked the VIX but clearly the above states that this is not really the case. Which leads to the following question - what DOES track the VIX and is tradeable? Futures or Options seem to be the only things that are directly linked? |
| Kevin_in_GA 4,599 posts msg #130946 - Ignore Kevin_in_GA |
9/7/2016 6:43:41 PM SIGNAL UPDATE: Buy-to-cover on the open ^VIX short entered on 8/29 (at 14.09, and closed today at 11.94 for a gain of 15.26%). The trade will be closed at the open tomorrow. The current Long position entered on 9/6 (from VIX LONG SIGNAL #1) is currently down -3.86%. |
| BarTune1 441 posts msg #130949 - Ignore BarTune1 |
9/7/2016 9:20:48 PM @GMG - that was useful information. As for the VXX, I've had great success trading it, but as i said, my systems are based on the VXX itself and not the index. I do have most of Larry Connors material. While the vast majority of his systems are mean reverting - in the case of the VXX - his research indicate it is not mean reverting and thus his primary system is trend following based on moving averages and cross-overs. It is also interesting as Connors also indicates that VXX is good for pair trading. The article I referred to in my post was written in 2012. Had you paired a long VXZ with a short VXX position, you would have made out like a bandit the last 4 years. You could have bought on almost every dip and made money. I'd post the chart but I'm not sure how .... on stockcharts you can enter the symbol VXZ:VXX and it charts the pair ratio. I've had real good luck shorting UVXY. It is notorious for being one of the more poorly structured leveraged ETFs and it suffers from a significant decay as a result of rebalancing and other costs. The VIX itselt could stay in a very tight range and UVXY will decay. I like those odds and have been shorting other triple leveraged ETFs also. |
| gmg733 788 posts msg #130952 - Ignore gmg733 modified |
9/8/2016 12:02:53 AM As a side note, XIV and SVXY have the opposite effect of VXX. Think about that for a while. If you get a pull back in XIV or SVXY, BTFD (within reason, that is why it is trading). You get a gradual continuous long from the short /VX futures rolling. Price is not mean reverting, but volatility is. The only true exposure to ^VIX is via options. I'd have to figure out how to set this up. The issue is the ^VIX options trade a little differently than normal equity options. |
| BarTune1 441 posts msg #130955 - Ignore BarTune1 |
9/8/2016 9:29:46 AM I think that paper trading (or trading in a dummy account) with a few VX futures contracts might be useful to see how they track. I'm not certain about the position sizing aspect. You might have too much exposure with one contract. I think you would have to play around with the options also - spreads in particular - whether bull, bear, calendar or ratio - to get the desired effect (delta close to 1 with the VIX) and to address overall $ risk. Kevin - you should be paper trading the futures ! |
| mahkoh 1,065 posts msg #130962 - Ignore mahkoh |
9/8/2016 2:49:48 PM mahkoh 599 posts msg #130915 modified 9/6/2016 5:15:32 PM I think the best one could do is sell Sept 20 10 calls as proxy for short positions and buy Sept 20 10.5 calls if you get signals to go long. Deltas are over 0.99 for both and spreads 20 cents. It appears 10 is the the lowest available strike. -------------------------------------------------------------------- Looking at this in realtime today the best solution is trading the October or maybe even the November expirations, Sell $10 calls as short and buy $10,5 calls to go long. Delta decrease is much slower if your options move in the money, and trading at $7 a contract for the 10 strike there is sufficient room for profit. |
| gmg733 788 posts msg #130973 - Ignore gmg733 modified |
9/8/2016 7:30:01 PM The problem with /VX contracts is when you are in contango and long you'll be sliding down the curve everyday you hold it thus losing money. |
| Kevin_in_GA 4,599 posts msg #130974 - Ignore Kevin_in_GA modified |
9/8/2016 7:32:39 PM SIGNAL UPDATES FOR TOMORROW (9/9/16) AT THE OPEN: A NEW LONG BUY SIGNAL has triggered from VIX LONG BUY #2 A NEW SHORT SELL SIGNAL has also been triggered from VIX SHORT FILTER #10 THE LONG POSITION FROM VIX LONG SIGNAL #1 CONTINUES TO BE HELD, and is currently up 0.72% (entered on 9/6 at 12.42, currently at 12.51). Entering both a long and short positions seems counterintuitive, but all that is likely to happen is that any gains or losses seen in one side will be negated by the other position, so there is basically no risk involved. In many ways this is a "non-signal" since it results in a net neutral position. An alternative approach is to wait until the first of these two signals closes and enter the second signal at that point. As several folks have correctly pointed out, the VIX Futures are in contango, so factor that into your decision process. |
| StockFetcher Forums · Filter Exchange · A NEW ^VIX TRADING SYSTEM | << 1 2 3 4 5 ... 49 >>Post Follow-up |
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