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Filter Exchange · A NEW ^VIX TRADING SYSTEM
dtatu
msg #131653
modified
10/1/2016 9:52:15 AM

mahkoh,
re.For long signals sell deep in the money ^VIX calls 2 - 3 weeks out. The premium involved is usually over 70 % so you have a big time decay advantage:

I also noticed that, actually, VIX Options have their underlying the VIX Futures and not VIX spot: if you look at the Oct 18 expiration, you will notice that the option which has a delta of 50% ( the At The Money) is the 16 Call ( the price of the Oct futures) and not the 13.5 call ( the price of the Vix index).
This means that : VIX index has options based on the price of the VIX Futures ? that's really confusing ( like many other things in VIX).

In conclusion, your plan to sell deep in the money options for their High Time premium seems to have no validity, as , for example, Oct 18 10 call goes for 5.50 bid-5.90 ask ( underlying Oct VIX future at 15.95) which is actually at a discount, with Zero Time premium in it and 100% Intrinsic value!);
this would make the case for using deep in the money options to mimic the VIX futures (not the index, though);
but then ,why bother with options instead of going long the Futures?

Filter Exchange · A NEW ^VIX TRADING SYSTEM
dtatu
msg #131649
modified
10/1/2016 7:57:49 AM

mahkoh,
re.For long signals sell deep in the money ^VIX calls 2 - 3 weeks out. The premium involved is usually over 70 % so you have a big time decay advantage:

maybe you could give us an example , this weekend, of a choice of a deep in the money call?
Not sure it's clear for me. Why would you sell short calls if you get a Buy signal? I'd rather do it on the system Sell signal?
When VIX goes up, it goes in big fast spikes,which could give you big drawdowns on the short calls.

Filter Exchange · A NEW ^VIX TRADING SYSTEM
dtatu
msg #131631
modified
9/30/2016 1:14:04 PM

No, i's not at all a predictive model for the VIX spot: I only see it as a possible way to trade the VIX system above, ( and maybe a more prudent one) as the VIX index cannot be traded.

If you move your cursor on the graph from Sep 7 to 14, you can see that:
1. VIX spot goes from 11.94 to 18.14= an increase of almost 52%
2. the difference between F2 and F1( 2 nd month minus front month) drops from 19.28% to 2.72%= a drop of 86 % ! this means that the front month(F1) advances much more than the second month (F2) when the VIX spot goes up.If the price of F1 becomes higher than F2= Backwardation ( bullish for VIX- bearish for the markets)

So, if the system gives a buy signal, one buys 1 Vix futures front month(F1) and simultaneously sells short the 2 nd month (F2) , hoping that F1 will gain more than the loss in F2( the spread narrows). When one exits on an exit signal, one closes BOTH in the same time as a spread again ( sells to close F1 and buys to close F2)

Hope it' s clearer?
Any opinions on this alternative / surrogate for VIX spot are welcome , of course.

Filter Exchange · A NEW ^VIX TRADING SYSTEM
dtatu
msg #131614
modified
9/30/2016 6:18:09 AM

re:The system is promising, but has trouble tracking Vix.

Just an idea : ( go again to : http://vixcentral.com/ , then click on the contango tab, then choose VIX Spot and F1-F2 Contango which will project their comparative graphs, and ZOOM !):

1. what about trading the Spread futures F1-F2 for long signals and F2- F1 for shorts ( eg. for a Long now, you would buy 1 Oct contract and sell 1 Nov and play the spread only; this would also limit the drawdowns,which could be very violent, in real life, in VIX?)

2. Did you try to take the opposite trade in SPY? ( for long VIX ,short SPY,etc.)

Filter Exchange · I Hate Giving Up All My Secrets But
dtatu
msg #131484
modified
9/24/2016 6:36:38 PM

then, one has to check the VIX index every day: I suggest this great link ( a picture is worth a 1000 words; play with the graph: everything is in it)

http://vixcentral.com/

Filter Exchange · I Hate Giving Up All My Secrets But
dtatu
msg #131475
9/24/2016 11:15:28 AM

Sincerely, unless somebody brings solid, real time proof that this system works both with long and short signals, I think the only way one can hope having a winning system with leveraged , volatility ETFs, is to take only the SHORT signals (decreasing volatility) on VXX, TWIX.( and maybe going long the inverse XIV;not sure though)

Filter Exchange · I Hate Giving Up All My Secrets But
dtatu
msg #131330
9/20/2016 10:49:41 AM

RE:
"Just what I'm trading now. You can catch all the action at collective2.
My system is called Donkey Punch Vix and it's currently up 115% in less
than 6 months. It currently sells for $29, but will soon quadruple."

I can't find any trace of it on Collective2.Can you help?

Filter Exchange · A NEW ^VIX TRADING SYSTEM
dtatu
msg #131321
modified
9/20/2016 1:30:13 AM

Re:

"You can run strata search for tvix, Xiv, Vxx or whatever you want. I already have one for Svxy. This thread gave me an idea to do short strategies for drag products. Still ..."

In real life , though, I see, quite often, " short sale restrictions" on TVIX or XIV: right now, TVIX, is under a short selling restriction until 20 Sept at 20.00; so, playing the short side on these ETF will not be possible when the market moves big against them


Filter Exchange · I Hate Giving Up All My Secrets But
dtatu
msg #131187
9/15/2016 5:37:17 PM

Thanks for the interesting idea.
Question: backtesting leveraged ETF like TVIX, VXX, which were reverse split many times over the years, influences ,positively, the results of the system ?
May Some of the signals not be true, using these charts? ( example: no farther than October 2015, the close of TVIX turns around 1400, according to a 2 year SF chart , which is, definitely not a real price, but one obtained in order to fit all the reversal splits since then)

Just asking; I afraid that in real time , this system might not be the same??
Anybody has any experience with backtesting these leverage ETF's?

Take a look at this link, too:

https://www.splithistory.com/?symbol=tvix

Filter Exchange · PORTFOLIO SELECTION AND MANAGEMENT USING RISK/REWARD RATIOS
dtatu
msg #114104
6/15/2013 12:06:57 AM

Yes, you should feel bad !!
Solidarity in stupid decisions and stupid losses, this is what conforts you?
You put together a simple and , what seems to be, a profitable system and you are not even able to follow it step by step? Yes, you should feel bad !
A profitable system is a SUM of wins and losses with a positive (profitable) outcome. The losse are part of the system ! You take them ALL or you are OUT of your system and you lost your time since 2010 in this Forum...
Actually , this Forum seems to be lead by an Academic of systems- unable to pull the trigger himself in real time, and a bunch of losers , who are unable to...anything !
I'm out, but I should thank Kevin for his idea, which I took as a basis to some very profitable, sytematic, disciplined trading on etfreplay.But I do trade them ALL and take the losses and wins, as they are BOTH essential !
Maybe one day you'll get it...

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