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Filter Exchange · A NEW ^VIX TRADING SYSTEM
dtatu
msg #131919
10/14/2016 9:49:45 AM

my today s trade:
DEBIT 1 + VIX FUT 20161116 - VIX FUT 20161019 0.47 SMART(USD)
BOT 1 VIX, 20161116, Futures, SMART, USD 17.44 SMART(USD) 01:08:03
SLD 1 VIX, 20161019, Futures, SMART, USD 16.97 SMART(USD) 01:08:03

I keep alternating trades between:
1. VIX futures spreads F1-F2
2. Inverse trade on e mini ES futures
3. Inverse trade on e mini ES options spreads

I"ll post the closed trades in batches of 10.

PS Also, whether Yellen speaks or not, I stick with the system signals , otherwise the stats will not reflect anymore the value of the system, IMO.

Filter Exchange · A NEW ^VIX TRADING SYSTEM
dtatu
msg #131857
10/11/2016 10:08:08 AM

My take on today's signal

CREDIT 1 : + ES FOP 20161104 2200C - ES FOP 20161104 2160C 16.25 SMART(USD) 08:34:38

Filter Exchange · A NEW ^VIX TRADING SYSTEM
dtatu
msg #131796
10/6/2016 1:31:41 PM

1. My take on today's signal

+ SLD 1 ES OCT 28 '16 + 2155 - 2190 Call BEAR Spread CREDIT 16.00

2. Signal on Strata
- finally the Long trade on Oct 3 disappeared without being sold on my program



Filter Exchange · A NEW ^VIX TRADING SYSTEM
dtatu
msg #131755
modified
10/5/2016 9:32:00 AM

this AM, like yesterday evening I have a HOLD fot the 3 open LONG trades.
You think there might be a difference in some system or trade settings between us, guys?

Filter Exchange · A NEW ^VIX TRADING SYSTEM
dtatu
msg #131720
10/4/2016 6:13:32 AM

Thanks for the help, Kevin.

Filter Exchange · A NEW ^VIX TRADING SYSTEM
dtatu
msg #131713
modified
10/3/2016 9:27:23 PM

Need Help with Stratasearch:( first time user)
I copied and pasted some of the long signals : entry and exit ( is there a more elegant way to do it, faster?)
When I choose "Run signal", it looks like it's doing it over the whole database.
How do I limit it to VIX index only? I do not even find ^VIX among the choices
Thanks

Filter Exchange · A NEW ^VIX TRADING SYSTEM
dtatu
msg #131700
10/3/2016 12:18:02 PM

My take on this signal ( real trades):

1. CREDIT 1 + ES FOP 20161021 2205C - ES FOP 20161021 2165C 17.25 SMART(USD)

2. SLD 1 VIX, 20161116, Futures, CFE, USD 16.90 CFE(USD)
BOT 1 VIX, 20161019, Futures, CFE, USD 15.70 CFE(USD)


Filter Exchange · A NEW ^VIX TRADING SYSTEM
dtatu
msg #131695
modified
10/3/2016 8:43:38 AM

mahkoh

You're 100% right, sorry: I got again confused by this stupid Index, which has options which seem to be priced after the Futures, but priced like the stock options. Difficult to get the things more complicated than this.
In conclusion, Yes: the VIX Futures have no options
VIX index has options (stock options)
Huhhh... for the moment, I prefer not to touch these ( with ALL their anomalies) and test , as I said Futures spreads only

Filter Exchange · A NEW ^VIX TRADING SYSTEM
dtatu
msg #131693
10/2/2016 10:17:52 PM

Gmg733
Thanks for the infos ( yes, the 2 message is the one I was looking for)

Filter Exchange · A NEW ^VIX TRADING SYSTEM
dtatu
msg #131692
modified
10/2/2016 10:16:48 PM

Options on futures have always the same multiplier as the underlying:
Oct 18 10 call at 5.90= 5 900 $, as far as I can tell

And Yes, with only 2-3 weeks left, if the market goes the other way, you have the equivalent of a future going against you, and , maybe not having the time to come back in such a short lapse of time.
Also the ratio risk reward is not favorable at all for a 10-23 bear call spread.
Read gmg733 post on how he would chose the strike prices to have a favorable risk/reward ratio.

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