gmg733
788 posts
msg #132586
- Ignore gmg733
modified |
11/16/2016 9:27:50 PM
@dtatu
Thanks. I saw somewhere the correlation between Vix and Spx. I'll see if I can't find it.
I sold an ITM Vix put spread yesterday to hedge off some short vega exposure. Portfolio adjustment.
******
edit: SPX and VIX are inversely correlated 82 to 91% of the time (yes that doesn't make sense but I think you get what I'm saying)
VIX and /VX coorelation move correlation can very. Interesting reads here:
http://www.spvixviews.com/2011/11/02/vix-education/
http://www.spvixviews.com/2012/01/18/why-are-there-different-prices-for-vix%C2%AE-spot-and-vix-futures/
|
scribbles
6 posts
msg #132598
- Ignore scribbles
modified |
11/17/2016 3:08:55 PM
edit: SPX and VIX are inversely correlated 82 to 91% of the time (yes that doesn't make sense but I think you get what I'm saying)
---------------------------------------------------
When volatility increases so does risk , position reduction as a result of risk management (hedge funds / investment banks) would account for the slide.
and vice versa
|
matt
15 posts
msg #132599
- Ignore matt |
11/17/2016 3:45:21 PM
Kevin, first thank you very much for sharing this system! I set up an account with SS and created the signals. For yesterday it triggered a long on long signal #9. Is this correct?
|
scribbles
6 posts
msg #132601
- Ignore scribbles |
11/17/2016 4:56:43 PM
11/16/2016 8:25:00 PM
1 NEW LONG VIX SIGNAL TRIGGERED TONIGHT.
------------------
= YES - Long Signal 9
|
mahkoh
1,065 posts
msg #132602
- Ignore mahkoh |
11/17/2016 5:44:45 PM
No signals for me yet.
|
miketranz
978 posts
msg #132603
- Ignore miketranz |
11/17/2016 5:47:20 PM
"1 NEW LONG VIX SIGNAL TRIGGERED TONIGHT." Can someone explain to me when to take an entry.Is it on next days open? Also,can TVIX be a suitable trading vehicle for this system,or what else would be applicable? Is this trade a 10 day hold? Also,is it a long side trade or strictly a volatility play? I'm trying to understand it in basic terms.Thanks for sharing Kevin.Miketranz...
|
scribbles
6 posts
msg #132605
- Ignore scribbles |
11/17/2016 8:56:14 PM
Most (if not all) of these questions are already answered in the thread.
|
pthomas215
1,251 posts
msg #132607
- Ignore pthomas215 |
11/17/2016 9:55:48 PM
Miketranz, the context of the system is pair trading I believe, where you have at times both long and short positions on the vix at the same time. if a signal occurs, you are to take the position at the next days open. VXX seems to have the highest correlation with the vix, although TVIX is a good and cheaper choice. it is suitable. I dont believe there is a time limit to the hold (to your 10 day hold question). You open and close signals as you see them come up in strata search. It is not purely a long side trade as sometimes you will see short vix signals come up. but if your question was whether this is a volatility play--the system seems to allow you to have weighted pair trading positions in accordance with the current volatility in the market. hope that helps. Keep in mind also that contango and backwardation issues can throw off timing. I need a masters in volatility to understand contango and backwardation to you--cant explain it well but I know it throws off timing of positions.
|
dtatu
143 posts
msg #132609
- Ignore dtatu |
11/18/2016 10:08:55 AM
gmg
Thanks for the links: I'll take a look during the weekend.
I bet that the inverse correlation is lost during the periods of backwardation, with bear markets and big price swings ?
|
gmg733
788 posts
msg #132626
- Ignore gmg733
modified |
11/18/2016 5:46:34 PM
When volatility increases so does risk , position reduction as a result of risk management (hedge funds / investment banks) would account for the slide.
and vice versa
__________
That all depends on how you trade. I trade volatility (most of the time). When volatility increases you increase your trade size based upon the thesis the volatility will be mean reverting. When vol is low you trade small and look for vol opportunities.
I do trade directional but find that easier to do with futures. Future tend to trade technically very well.
|