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VIX

Honest reporting on shorter-term trading activity and ideas
langley59
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Re: VIX

#117766

Postby langley59 » February 13th, 2018, 12:31 am

odysseus2000 wrote:Looking at the backwardisation in the vix:

http://vixcentral.com

Once this current contract closes (Wed I think) there is not much slope in the backwardisation which made me wonder if svxy might be good.

I had decided I would not touch svxy ever again, but the more I looked at the above chart, the more it seemed like an opportunity, so I added to my heavily underwater svxy.

Hope I am not buying at a top based on todays action, but if the vix returns to contango, svxy ought to fly.

Regards


Ditto. Just a lingering doubt in my mind however given the termination of XIV.

GoSeigen
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Re: VIX

#117864

Postby GoSeigen » February 13th, 2018, 1:32 pm

langley59 wrote:Ditto. Just a lingering doubt in my mind however given the termination of XIV.


IMO with the VIX in backwardation vol should be bought, not sold.


GS

odysseus2000
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Re: VIX

#117873

Postby odysseus2000 » February 13th, 2018, 2:24 pm

GoSeigen
IMO with the VIX in backwardation vol should be bought, not sold.



Yes, but the vix has moved a lot & the forward curve, after the current contract closes, is much flatter in backwardisation.


Clearly the time to buy volatility was before this big move, now I am not so sure.

As I currently see things there is more chance of a fall in volatility compared to a rise. Sure there are still stories of big hedge funds/ banks in trouble because of the violent rise in volatility. If these stories turn out to be true then one could see the vix spike up from these levels, if not volatility likely falls.

Difficult to quantify what the upside might reach, but the down side based on the last few years if volatility falls is potentially large.

Not a widows or orphans trade as short volatility now is still high risk imho, but I can withstand a complete loss & so long as svxy isn't withdrawn there seems a good possibility that in the by & by even with short term spikes that volatility falls imho.

Regards,

hiriskpaul
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Re: VIX

#117896

Postby hiriskpaul » February 13th, 2018, 3:54 pm

This is interesting, but could be fake news, etc.

https://www.cnbc.com/2018/02/13/whistle ... igate.html

For the moment I am staying clear of volatility futures and derived products such as SVXY. I will stick to options. That way I know precisely what volatility I am being quoted.

langley59
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Re: VIX

#118185

Postby langley59 » February 14th, 2018, 4:03 pm

February VIX futures have expired today, VIX Itself has fallen to just under 20 as I write and the backwardation between the front month futures (Mch) and the second month futures (Apr) is quite small.

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Re: VIX

#118370

Postby hiriskpaul » February 15th, 2018, 1:36 pm

hiriskpaul wrote:FWIW I took out a bet on Friday that we have seen the last vol spike and it is downhill from here (short Mar SPX puts at 5400). So far so good today. Last week I also bet against a collapse in oil prices (Short Apr WTI puts at 5400). That one is not going too well, but a bit better today.

I am surprised no one questioned this. My short S&P 500 puts have a strike of 2400, not 5400! Similarly, WTI strike should be 5650, not 5400. No idea why I had 5400 on my brain.

So far this volatility spike has followed a common pattern with a few days of significant volatility, followed by a more gradual decline. I hope it continues to follow that pattern.

I have been thinking about the suggestion of VIX futures manipulation and find it quite surprising. The posting of outrageously priced orders for SPX options are not uncommon and used to stimulate more sensible prices, or so I used to believe, so it seems unlikely to me that the CBOE would take account of unrealistic prices in calculating the VIX.

DiamondEcho
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Re: VIX

#118446

Postby DiamondEcho » February 15th, 2018, 7:14 pm

hiriskpaul wrote: I am surprised no one questioned this. My short S&P 500 puts have a strike of 2400, not 5400! Similarly, WTI strike should be 5650, not 5400.

I noticed it was incorrect, despite not closely following these instruments. I occasionally have random moments like this too and that's what I put it down to, no big deal - it happens :lol:

hiriskpaul
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Re: VIX

#118469

Postby hiriskpaul » February 15th, 2018, 9:22 pm

DiamondEcho wrote:
hiriskpaul wrote: I am surprised no one questioned this. My short S&P 500 puts have a strike of 2400, not 5400! Similarly, WTI strike should be 5650, not 5400.

I noticed it was incorrect, despite not closely following these instruments. I occasionally have random moments like this too and that's what I put it down to, no big deal - it happens :lol:

Which I had sold puts at 5400 as the return would have been a lot more than on my 2400s!

odysseus2000
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Re: VIX

#120007

Postby odysseus2000 » February 23rd, 2018, 8:44 pm

Vix now looking more favourable for svxy:

http://vixcentral.com

Regards,

hiriskpaul
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Re: VIX

#120021

Postby hiriskpaul » February 23rd, 2018, 10:09 pm

Closed out half my short SPX puts just before the close, having gained 90% of the maximum profit. Will probably hold the remainder, scrooge like, until expiry.

langley59
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Re: VIX

#121452

Postby langley59 » March 1st, 2018, 7:31 pm

Big change announced by ProShares in relation to SVXY, from 28/02/18 they are changing the return from 1x the inverse of the index to 0.5x the inverse of the index. No advance warning given. Effect is that potential profits and losses are reduced. Speculation abounds that the regulators may have encouraged this given the carnage experienced in SVXY and XIV a month ago. I suppose one major implication of this change (favourable) is that a sharp increase in VIX is now less likely to wipe out an investment in SVXY.

http://www.proshares.com/news/proshare_ ... _etfs.html

langley59
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Re: VIX

#123674

Postby langley59 » March 9th, 2018, 9:59 pm

The excitement of a month ago appears to have finally settled down, spot VIX has closed the week at 14.64 with the first month futures higher and the second month futures higher still with the welcome return of contango. I do not expect a return to the subdued level of volatility of 2017 however a long SVXY position now has both the tailwind of contango again as well as the reduced risk of wipeout since the deleveraging of the ETF referred to in my previous post. As always not a recommendation.

langley59
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Re: VIX

#132930

Postby langley59 » April 17th, 2018, 9:41 pm

Well my previous post signalled a false dawn but after another volatile month or so perhaps we are now finally off to the races on this trade. VIX is back down to c 15 and contango has now been re-established. Keeping 'em crossed.


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