StockFetcher Forums · Filter Exchange · A NEW ^VIX TRADING SYSTEM<< 1 ... 21 22 23 24 25 ... 49 >>Post Follow-up
tennisplayer2
210 posts
msg #132025
Ignore tennisplayer2
10/20/2016 8:01:34 AM

Kevin, thanks for the continual postings and help of this strategy for us. Kevin or anyone, did y'all get a buy signal on VIX long signal #1? Thanks.

Kevin_in_GA
4,599 posts
msg #132026
Ignore Kevin_in_GA
10/20/2016 9:51:46 AM

I imported the data again at 9 AM and reran the signals - no Long Buy for me.

tennisplayer2
210 posts
msg #132027
Ignore tennisplayer2
modified
10/20/2016 9:58:21 AM

Kevin, thanks. I am wondering why different computers have different results once in a while. Thanks again.

gmg733
788 posts
msg #132030
Ignore gmg733
10/20/2016 3:10:28 PM

I got a long buy too. Again, mine runs about 11p CST due to settlement. Triggered filter #1. Again, SS isn't perfect. I get my data from Yahoo as I suspect Kevin does. So I don't know why it is slightly off.

Was gonna get some long VIX delta today anyhow to manage my overall portfolio.

mahkoh
1,065 posts
msg #132034
Ignore mahkoh
10/20/2016 5:52:33 PM

Long #1 triggered here as well yesterday.

Kevin_in_GA
4,599 posts
msg #132035
Ignore Kevin_in_GA
10/20/2016 8:01:58 PM

SIGNALS FOR FRIDAY 10/21/16

NO NEW SIGNALS.


OPEN TRADESDate Opened^VIX Opening ValueDate Closed^VIX Closing ValueNet Gain/Loss (%)
SHORT ^VIX10/14/201616.49- - - - -13.75+16.62%
SHORT ^VIX10/12/201615.53- - - - -13.75+11.46%
CLOSED TRADESDate Opened^VIX Opening ValueDate Closed^VIX Closing ValueNet Gain/Loss (%)
SHORT^VIX08/29/201614.0709/08/201611.76 +16.42%
LONG ^VIX09/06/201612.5409/12/201620.13+61.66%
LONG ^VIX090/9/201612.4409/12/201620.13+60.37%
LONG ^VIX09/13/201615.9809/14/201617.63+10.32%
SHORT ^VIX09/12/201620.1309/19/201615.16+24.61%
SHORT ^VIX09/09/201612.5209/22/201613.41-7.28%
SHORT ^VIX09/12/201620.1309/22/201613.41+33.32%
SHORT ^VIX09/14/201617.6309/23/201612.02+31.74%
LONG ^VIX10/03/201613.7510/05/201613.54-1.67%
LONG ^VIX09/27/201613.3610/07/201613.50+0.90%
LONG ^VIX10/11/201613.7110/12/201615.53+12.96%
LONG ^VIX09/28/201612.9010/12/201615.53+20.05%
LONG ^VIX10/06/201613.1110/12/201615.53+18.13%
SHORT ^VIX10/12/201615.5310/19/201614.95+3.73%
SHORT ^VIX10/12/201615.5310/19/201614.95+3.73%
SHORT ^VIX10/14/201616.4910/20/201614.45+12.49%
SHORT ^VIX10/12/201615.5310/20/201614.45+7.08%
SHORT ^VIX10/12/201615.5310/20/201614.45+7.08%


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.


OPEN TRADESDate Opened^VIX Opening ValueDate Closed^VIX Closing ValueNet Gain/Loss (%)
SHORT ^VIX10/14/201616.49- - - - -13.34+19.10%
SHORT ^VIX10/12/201615.53BUY-TO-COVER AT OPEN ON MONDAY13.34+14.10%
CLOSED TRADESDate Opened^VIX Opening ValueDate Closed^VIX Closing ValueNet Gain/Loss (%)
SHORT^VIX08/29/201614.0709/08/201611.76 +16.42%
LONG ^VIX09/06/201612.5409/12/201620.13+61.66%
LONG ^VIX090/9/201612.4409/12/201620.13+60.37%
LONG ^VIX09/13/201615.9809/14/201617.63+10.32%
SHORT ^VIX09/12/201620.1309/19/201615.16+24.61%
SHORT ^VIX09/09/201612.5209/22/201613.41-7.28%
SHORT ^VIX09/12/201620.1309/22/201613.41+33.32%
SHORT ^VIX09/14/201617.6309/23/201612.02+31.74%
LONG ^VIX10/03/201613.7510/05/201613.54-1.67%
LONG ^VIX09/27/201613.3610/07/201613.50+0.90%
LONG ^VIX10/11/201613.7110/12/201615.53+12.96%
LONG ^VIX09/28/201612.9010/12/201615.53+20.05%
LONG ^VIX10/06/201613.1110/12/201615.53+18.13%
SHORT ^VIX10/12/201615.5310/19/201614.95+3.73%
SHORT ^VIX10/12/201615.5310/19/201614.95+3.73%
SHORT ^VIX10/14/201616.4910/20/201614.45+12.49%
SHORT ^VIX10/12/201615.5310/20/201614.45+7.08%
SHORT ^VIX10/12/201615.5310/20/201614.45+7.08%


dtatu
128 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

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.



dtatu
128 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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