| StockFetcher Forums · Filter Exchange · A NEW ^VIX TRADING SYSTEM | << 1 ... 21 22 23 24 25 ... 49 >>Post Follow-up |
| Kevin_in_GA 4,599 posts msg #132060 - Ignore Kevin_in_GA |
10/22/2016 3:37:47 PM SIGNALS FOR MONDAY 10/24/16 1 NEW BUY-TO-COVER SIGNAL FOR MONDAY.
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| dtatu 143 posts msg #132064 - Ignore dtatu modified |
10/23/2016 1:10:54 PM @gmg733 Q: Could you give me an idea about what kind of spreads you would usually use on VXX ( I think you referred to those in the past) , when you expect the VOL ( Or VIX ) to decrease? I'm trying to find somethig interesting to use on a regular basis but I noticed what seems to be an unfavorable Implied VOL skew for spreads ( going UP on calls ; going Down on Puts) Or, maybe you just Sell naked premium? Thanks |
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| gmg733 788 posts msg #132066 - Ignore gmg733 modified |
10/23/2016 4:16:49 PM Sure. I was playing with taking advantage of drag in VXX for several months from and idea I got from another trader who was pairs trading short VXX call spreads and short VIX put spreads. Kevin's filter became a timely piece of work to allow me to abstract the pair piece and simply short vol or long vol albeit unconventionally. I'm experimenting with different versions, but the VXX short call spreads seems to work like a champ. So the trade. I've been waiting until vol spikes up to around the 15 ish level. Just doing it on an up day. Then I'll buy an ATM call and sell one further in the money which is typically about a 25 delta spread or 3-4 option prices (buy 31.5 and sell 30 for example). This gives me a risk to reward around 1 to 1. I manage the spread around 35-40% of max profit. It has been very reliable. Remember, this is a delta play, we want the price to fall and that is how we make our money. I've been selling around 30-45 days out, but experimenting with shorter dated ones. Since this is vol play I need time to be 'right'. At least that is my initial thesis. Is this the most efficient way to do this, probably not. I need more time to think about it. Right now, I have a long VIX signal and I'm short the VIX 17 Put and Long the VIX 14 Put. I think it was a R/R around 1 when I put it on. Looking for vol to pop. It was up and now it is down 10%. I also needed some short spy weighted delta in my portfolio and offset some vega risk. I'm starting to see vol as a core asset class in my portfolio. Naked. Well can't really do naked puts on VIX, no premium below ATM. And VXX has the negative drag. But a sound thought process as VIX in theory can not go to zero. My thesis is 10 would be like zero for the vix. Anyhow, I will not go naked calls. I'm a chicken. :) You could go naked calls, but you always have that 'take over' move lurking. This is why I spread everything off. I'm not a huge spread trader, but I have been in the vol products. I prefer naked. What I have learned over the years is products with drag, drag wins. Don't fight drag. So when products like VXX pop, I short them via call spreads now. I'm not smart enough to trade them to perfection and catch the right time. Kevin's filter does help with that however. I'm trying to get something in StrataSearch that I like that shorts all ETFs with drag. I got some good numbers but not great ones. So I keep trying. :) These trades sound counter intuitive. But they have been pretty reliable. |
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| dtatu 143 posts msg #132068 - Ignore dtatu |
10/23/2016 5:47:16 PM That covers it a lot. Thanks for taking the time... |
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| Kevin_in_GA 4,599 posts msg #132089 - Ignore Kevin_in_GA |
10/24/2016 9:00:10 PM SIGNALS FOR TUESDAY 10/25/16 1 NEW BUY-TO-COVER SIGNAL FOR TOMORROW, CLOSING ALL CURRENT OPEN TRADES.
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| Kevin_in_GA 4,599 posts msg #132111 - Ignore Kevin_in_GA |
10/25/2016 8:31:22 PM SIGNALS FOR WEDNESDAY 10/26/16 1 NEW LONG SIGNAL FOR TOMORROW.
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| mikea59 7 posts msg #132112 - Ignore mikea59 |
10/26/2016 7:32:24 AM Question about signal #1 - it uses OBV which will not work for VIX - right? What is signal #1 using as its symbol? |
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| Kevin_in_GA 4,599 posts msg #132113 - Ignore Kevin_in_GA |
10/26/2016 8:11:18 AM Not sure - that code is directly from a SS Autosearch run against the index. My guess is that it is simply ignored. |
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| spauken 47 posts msg #132139 - Ignore spauken |
10/26/2016 2:32:41 PM Kevin: regarding shorting the 3x etf's, do you have any issues being able to borrow the shares from your broker? Which broker are you using? |
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| Kevin_in_GA 4,599 posts msg #132140 - Ignore Kevin_in_GA |
10/26/2016 2:53:00 PM Interactive Brokers - I have not had any issues (yet). |
| StockFetcher Forums · Filter Exchange · A NEW ^VIX TRADING SYSTEM | << 1 ... 21 22 23 24 25 ... 49 >>Post Follow-up |
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