mahkoh
1,065 posts
msg #131694
- Ignore mahkoh |
10/3/2016 7:11:40 AM
I don't know, I bought the Oct18 10 call for 5.40 and paid $540 for it.
The max days hold for the strategy is 10 days, if a position goes against you probably just have to take the loss. Fortunately there should be plenty of winners.
The suggested call to buy is more of an armageddon insurance than part of a spread. You can reduce the risk by choosing a lower strike, but this comes with higher premium. Considering the expected winrate of the strategy I would choose lower premium.
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dtatu
143 posts
msg #131695
- Ignore dtatu
modified |
10/3/2016 8:43:38 AM
mahkoh
You're 100% right, sorry: I got again confused by this stupid Index, which has options which seem to be priced after the Futures, but priced like the stock options. Difficult to get the things more complicated than this.
In conclusion, Yes: the VIX Futures have no options
VIX index has options (stock options)
Huhhh... for the moment, I prefer not to touch these ( with ALL their anomalies) and test , as I said Futures spreads only
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Kevin_in_GA
4,599 posts
msg #131697
- Ignore Kevin_in_GA
modified |
10/3/2016 9:44:45 AM
I placed a limit order for 1000 shares of VXX at $34.25. Currently holding 2000 shares at an average cost of $33.995. Just seeing if I can catch it at a slightly better price, but I run the risk of it not getting filled.
10:01 AM - order filled. Now holding 3000 shares of VXX at an average cost of $34.08
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graftonian
1,089 posts
msg #131698
- Ignore graftonian |
10/3/2016 10:45:30 AM
Holding UVXY at $16.52
Bought TVIX in pre-market at $18.57
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dtatu
143 posts
msg #131700
- Ignore dtatu |
10/3/2016 12:18:02 PM
My take on this signal ( real trades):
1. CREDIT 1 + ES FOP 20161021 2205C - ES FOP 20161021 2165C 17.25 SMART(USD)
2. SLD 1 VIX, 20161116, Futures, CFE, USD 16.90 CFE(USD)
BOT 1 VIX, 20161019, Futures, CFE, USD 15.70 CFE(USD)
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dtatu
143 posts
msg #131713
- Ignore dtatu
modified |
10/3/2016 9:27:23 PM
Need Help with Stratasearch:( first time user)
I copied and pasted some of the long signals : entry and exit ( is there a more elegant way to do it, faster?)
When I choose "Run signal", it looks like it's doing it over the whole database.
How do I limit it to VIX index only? I do not even find ^VIX among the choices
Thanks
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Kevin_in_GA
4,599 posts
msg #131714
- Ignore Kevin_in_GA |
10/3/2016 9:51:11 PM
SIGNALS FOR TUESDAY 10/4/16
NO NEW SIGNALS TRIGGERED.
| OPEN TRADES | Date Opened | ^VIX Opening Value | Date Closed | ^VIX Closing Value | Net Gain/Loss (%) |
|---|
| LONG ^VIX | 10/3/2016 | 13.75 | - - - - - | 13.57 | -1.31% | | LONG ^VIX | 9/27/2016 | 13.36 | - - - - - | 13.57 | +1.57% | | LONG ^VIX | 9/28/2016 | 12.90 | - - - - - | 13.57 | +5.19% | | | | | | | |
| 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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Kevin_in_GA
4,599 posts
msg #131715
- Ignore Kevin_in_GA |
10/3/2016 9:55:41 PM
@DTATU: You need to do two things before running any of the strategies - I outlined this on page 6 of this thread but here it is again:
1. Import ^VIX data: This is not automatically done. You need to go to File -> Import Prices ... and choose Source Type = Yahoo! Finance. Then move down to Yahoo! Finance settings and edit the Indexes file "indices.csv" by adding the following line at the bottom:
^VIX,^VIX,CBOE Volatility Index
Save the file and the go to File ->Import Prices and download the data for all symbols and indices.
2. Create a new sector called VIX: Go to Setups -> Sector Setups and "Add" a new sector called VIX. Add the ^VIX symbol and save.
Now you can run these strategies. using the newly created VIX sector as the data source.
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dtatu
143 posts
msg #131720
- Ignore dtatu |
10/4/2016 6:13:32 AM
Thanks for the help, Kevin.
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Kevin_in_GA
4,599 posts
msg #131724
- Ignore Kevin_in_GA
modified |
10/4/2016 1:15:29 PM
Posting this a little late - at 10:43 AM picked up 1000 shares of UVXY at $15.75.
3:23 PM UPDATE: Wow - I had set this limit order not really sure if it would get filled, but I just noticed that I basically caught the tradeable low of the day. Now up about $1100 on this trade. Time to pull it off the table and have a beer.
3:25 PM UPDATE: Out at $16.85 for a gain of $1090 after commissions.
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