StockFetcher Forums · View by Author: (134 messages)  [ Display By: Date / Subject ]<< 1 ... 10 11 12 13 14 >> 
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.

Filter Exchange · A NEW ^VIX TRADING SYSTEM
dtatu
msg #131686
10/2/2016 4:08:16 PM

Anybody has any idea about :

Vix futures daily chart ( let's say VIX Oct 2016 contract): The OPEN represents what time of the day??

If we take Sep 30 : the Open is ? ( I see on the contract description an almost 24/24 hour session , with a break from 15.15-15.30 every day? The Open of Sep 30 is Sep 29 15.30??( extended hours) or Sep 30 7.30 AM ( regular hours)

What about e mini SP (ES) daily chart :the open Sep 30 is Sep 29 18.00 or ??

Thanks for the help

Filter Exchange · A NEW ^VIX TRADING SYSTEM
dtatu
msg #131685
10/2/2016 3:47:19 PM

mahkoh

I thought the VIX future has a multiplier of 1000?
Then, 23-10=13-5.9=7.1+0.4=7.5 x 1000= 7 500 $ risk
Am I wrong?

Also , you give yourself too little time, with the short option deeeeeep in the money?

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)

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?



StockFetcher Forums ·  · << 1 ... 10 11 12 13 14 >>

*** Disclaimer *** StockFetcher.com does not endorse or suggest any of the securities which are returned in any of the searches or filters. They are provided purely for informational and research purposes. StockFetcher.com does not recommend particular securities. StockFetcher.com, Vestyl Software, L.L.C. and involved content providers shall not be liable for any errors or delays in the content, or for any actions taken based on the content.


Copyright 2022 - Vestyl Software L.L.C.Terms of Service | License | Questions or comments? Contact Us
EOD Data sources: DDFPlus & CSI Data Quotes delayed during active market hours. Delay times are at least 15 mins for NASDAQ, 20 mins for NYSE and Amex. Delayed intraday data provided by DDFPlus


This site is protected by reCAPTCHA and the Google Privacy Policy and Terms of Service apply.