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| Filter Exchange · /* Markets go to Hell in a Handbasket Symlist */ | |
| dtatu msg #145492 modified |
12/7/2018 10:31:29 PM I love this filter, POINT! I use it with weekly Options spreads( diagonals), which give me the extra time for error in the trend. The signals seem to be very reliable. Question: In real time ,Though,I got some problems: let's say, today I look at the column-signal, and the signal, did not,yet, turn,from positive to negative; but, tomorrow, the column signals that the turn took already place 2 or 3 days ago ! If I go backwards and check the plots I notice that they changed already one day ago, although, in real time, they did not, when I checked , yesterday? Is there a problem with the count? Thanks for your help. |
| Filter Exchange · /* Markets go to Hell in a Handbasket Symlist */ | |
| dtatu msg #145498 |
12/8/2018 10:16:37 AM could this be linked to the fact that the filter uses calendar vs trading days? Is there a way to change this? ( I have no backgroud on programming:big Zero) |
| 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 · 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 · 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 #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 #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 #131654 modified |
10/1/2016 10:07:53 AM I think I'll start tracking your signals and trade, as I explained, for a while, on paper, the Futures spreads F1-F2 ,( I'll use only 1 contract in the beginning) using the official open of both to calculate the spread, and let you know, guys, about the results. |
| Filter Exchange · A NEW ^VIX TRADING SYSTEM | |
| dtatu msg #131662 modified |
10/1/2016 1:43:59 PM @gmg733 following your suggestion: example for Oct 18 Options ( let's take a 5 points spread) Sell 11call at 4.70 Buy 16call(ATM) at 1.2 Credit 3.5 ( risk is 1.5/5= 30%) at 16 on exp. The problem I have with this spread is: 1. buying ATM calls , which means I pay 100% time value ( I hate this, as Theta is horribly against me) 2. buying a much more expensive call than I sell !( implied vol of 11 call=around 65% whereas Imp vol of 16 call is 91% ! ) 3. The probability of this spread making money( being below 14.5 ( break even point) at the exp) , according to the quotes is only 28 %( delta of 14.5put with VIX Oct contract at 16 , today). All these, tell me that the odds of a favorable outcome of this spread are not so good, imho. Did I make a mistake somewhere? |
| Filter Exchange · A NEW ^VIX TRADING SYSTEM | |
| dtatu msg #131676 modified |
10/2/2016 11:04:08 AM @gmg733 Totally agree with your arguments ( I used "options 2-3 weeks out of the other post (mahkoh),without realizing that you did not specify the duration of options you use) - I also agree with taking profits quickly( I usually close half at 50% ,then the other half at 75% profits) Imho, the only reasonable instruments to use for this system are options spreads or futures spreads or other hedged instruments, because, as Kevin says, those open drawdowns already seen in 2 short trades are actually nothing, compared to the worst case scenarios, seen in the past( take a look at those Wild , fast swings in 2008, 2011 : without stops you could be out of money just by being once only on the wrong side of the market) |
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