StockFetcher Forums · Filter Exchange · A NEW ^VIX TRADING SYSTEM<< 1 ... 44 45 46 47 48 ... 49 >>Post Follow-up
ericeira
23 posts
msg #133611
Ignore ericeira
1/7/2017 10:09:26 PM

Hi Kevin, are you still working on the strategy that exploits contango with a parallel hedging strategy and if you are are you going to share .
I do really appreciate all your work .
Happy new Year

Kevin_in_GA
4,599 posts
msg #133620
Ignore Kevin_in_GA
1/8/2017 5:14:57 PM

My apologies on the delay - the system is really quite simple, but needs to be tweaked a bit.

It is all based on levels of ^VIX contango ((F2-F1)/F1)) versus the same contango for the longer mid-term futures of the ^VXV ((F7-F4)/(F4)).

If the contango level for ^VIX is GREATER THAN the contango level for ^VXV, then you buy XIV and also buy VXZ as a hedge against sudden spikes in volatility.

If the contango level for ^VIX is LESS THAN the contango level for ^VXV, then you buy VXX and also buy ZIV as a hedge against sudden reversions in volatility.

Right now the challenge is in determining the level of hedging that gives you the best over all performance. Over the last five years ^VIX has been in contango about 85% of the time, so this system needs to provide a better overall outcome than just buying XIV and holding until the absolute contango level drops below zero. That is hard to beat, since the hedge will diminish overall return at the expense of smoothing out the ride.

As of this time I am not really seeing added value in the hedge, but rather the best performance seems to be all in on XIV when the ^VIX contango level is above 5% or so. I might be able to put together something based on index ratios, but have not really committed the time to look at that option yet.

Kevin_in_GA
4,599 posts
msg #133639
Ignore Kevin_in_GA
1/9/2017 11:08:52 AM

Are folks wondering why XIV is up 1.2% this morning when the ^VIX is up 3%?

Contango (currently at 12.2%), and a thing called roll yield (currently at 9.9%). Both are pushing XIV up and VXX down, even when the ^VIX is going up. These are the factors that I think folks should be looking at rather than any specific technical indicator. These are the drivers for price action in these ETFs.

shillllihs
5,369 posts
msg #133640
Ignore shillllihs
modified
1/9/2017 1:16:11 PM

One should always be in in XIV what is needed is a short range indicator telling when to be out. Easier said than done. Chasing a system that goes long Vxx is proving futile. It's hit or miss. What I'm describing is basically the same thing you are looking for but in its simplist form. Maybe don't focus on Vix but on the market as a whole. We are in a bull trend until monthly CCI dips under -150 so best to stay long, bailing and catching the dips is the challenge. Hitting top Acc. bands and either bailing all or part of your position
to buy back lower is one option.

Kevin_in_GA
4,599 posts
msg #133644
Ignore Kevin_in_GA
1/9/2017 2:31:36 PM

My thought is to look at contango levels and roll yield, and simply set thresholds - example might be that you are in XIV as long as the ^VIX contango stays above 5%. The roll yield plays a more important role as we approach front month expiration, and as long as it is positive it will benefit XIV. The truth is that it is better in the long run to be profitable than to be right - you can live through periods of backwardation but looking at the contango levels lets you know when those are approaching, so you can reduce position size or go to cash.

shillllihs
5,369 posts
msg #133779
Ignore shillllihs
1/17/2017 1:17:14 PM

Knock knock, what are the coordinates of this filter now? Long, short, a combo?
This used to be such a rokin thread.

c1916
77 posts
msg #133780
Ignore c1916
1/17/2017 3:13:38 PM

I know you're not asking me, but I bought a little VXX insurance going into Friday by purchasing a handful of 1/27 calls.

Just for protection, not looking to rake in huge profits. Decision was not based on the results of any of my filters.



pthomas215
1,251 posts
msg #133781
Ignore pthomas215
1/17/2017 3:33:03 PM

it seems like the indices / indexes are dropping but vix ETF's are hardly up. i assume it is contango.

Kevin_in_GA
4,599 posts
msg #133782
Ignore Kevin_in_GA
1/17/2017 4:46:27 PM

The VIX is correlated with the markets, but the price of the ETFs is strongly influenced by contango. Look at today - the ^VIX is up 5.7% but VXX is down 0.7% and XIV is up 0.6%. If these truly mirrored the spot index, this would not happen. But with the contango level at 19% right now, XIV is moving up and VXX is moving down. You can also see that the ^SPX has traded basically flat for the past month while XIV has moved up more than 17% and VXX has dropped the same amount. Again - contango.

Kevin_in_GA
4,599 posts
msg #133884
Ignore Kevin_in_GA
1/25/2017 7:03:30 PM

Just a heads up - the system triggered 6 new Long ^VIX signals tonight, with 2 more already in play. 8 of 10 filters indicating a short term increase in volatility. Trade carefully though - contango still favors shorting.

StockFetcher Forums · Filter Exchange · A NEW ^VIX TRADING SYSTEM<< 1 ... 44 45 46 47 48 ... 49 >>Post Follow-up

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