Got a credit card? use our Credit Card & Finance Calculators
Thanks to gvonge,Shelford,GrahamPlatt,gpadsa,Steffers0, for Donating to support the site
VIX
-
- Posts: 3
- Joined: November 6th, 2016, 12:18 pm
- Has thanked: 3 times
- Been thanked: 2 times
Re: VIX
As a matter of fact, I _do_ short both "Volatility Index" (VIX futures) and "EU Volatility Index" (VSTOXX futures) on IG.
However, as you state, one has to be very careful to keep the potential exposure manageable - it would be a disaster to have to sell when the VIX is high! (In August 2015 wobble, I did close a VIXY short and replaced it with an equivalent SVXY long as it was getting rather large and a further increase in size would make me uncomfortable.)
Secondly, they are rather 'lumpy' - while VIXY/SVXY smoothly keep a 1-month average by combining the two futures, holding directly means it gets somewhat choppy when the time to expiry is short as it flails around all over the place.
Finally,the minimum bet amount is higher. I'm, shall we say, nearer the beginning of my wealth accumulation journey, so granularity matters - I like to ease into a position with small bets over a period days or even weeks. I can't do that at all with the futures.
All the above means SVXY is the most sensible for me for most of my position. The others at a bit of spice and in the case of VSTOXX, a slightly reduced correlation
It would be nice if IG would let me short futures further out, rather than just the next two, but they don't.
If I could, I would also short VIXM.
Vix Central doesn't seem to do VSTOXX, and the structure is often more complicated, but once can use these sites to look at the values.
http://www.eurexchange.com/exchange-en/ ... urityDate=
https://www.barchart.com/futures/quotes ... ll-futures
I also have a very small short position in ProShares Ultra DJ-UBS Natural Gas (BOIL) and ProShares Ultra DJ-UBS Crude Oil (ARCA), again because of the contango and the leveraged decay. I haven't a clue about the behaviour of oil & gas, apart from it is expensive to store, people on average seem to think it will be more expensive in the future & it fluctuates all over the place, so these are more of an experiment.
Thanks for the heads-up on the discount - though the futures roll over four times as much!
I like shorting.
However, as you state, one has to be very careful to keep the potential exposure manageable - it would be a disaster to have to sell when the VIX is high! (In August 2015 wobble, I did close a VIXY short and replaced it with an equivalent SVXY long as it was getting rather large and a further increase in size would make me uncomfortable.)
Secondly, they are rather 'lumpy' - while VIXY/SVXY smoothly keep a 1-month average by combining the two futures, holding directly means it gets somewhat choppy when the time to expiry is short as it flails around all over the place.
Finally,the minimum bet amount is higher. I'm, shall we say, nearer the beginning of my wealth accumulation journey, so granularity matters - I like to ease into a position with small bets over a period days or even weeks. I can't do that at all with the futures.
All the above means SVXY is the most sensible for me for most of my position. The others at a bit of spice and in the case of VSTOXX, a slightly reduced correlation
It would be nice if IG would let me short futures further out, rather than just the next two, but they don't.
If I could, I would also short VIXM.
Vix Central doesn't seem to do VSTOXX, and the structure is often more complicated, but once can use these sites to look at the values.
http://www.eurexchange.com/exchange-en/ ... urityDate=
https://www.barchart.com/futures/quotes ... ll-futures
I also have a very small short position in ProShares Ultra DJ-UBS Natural Gas (BOIL) and ProShares Ultra DJ-UBS Crude Oil (ARCA), again because of the contango and the leveraged decay. I haven't a clue about the behaviour of oil & gas, apart from it is expensive to store, people on average seem to think it will be more expensive in the future & it fluctuates all over the place, so these are more of an experiment.
Thanks for the heads-up on the discount - though the futures roll over four times as much!
I like shorting.
-
- Lemon Slice
- Posts: 325
- Joined: November 12th, 2016, 12:12 pm
- Has thanked: 120 times
- Been thanked: 102 times
Re: VIX
Strange one yesterday, VIX fell 3.93% and is almost back to its lowest point but SVXY was practically unmoved, in fact down a tad, whilst contango is still present, although reduced from the prior day level. I track the daily movements in VIX, SVXY and contango/backwardation and you sometimes get these counterintuitive moves. I suppose it comes down to factors such as the basis between spot VIX and the front month futures. In any event I'm getting more nervous with VIX at these levels.
-
- Lemon Quarter
- Posts: 3563
- Joined: November 7th, 2016, 1:56 pm
- Has thanked: 1590 times
- Been thanked: 1418 times
Re: VIX
North Korea accuses US of declaring war
http://www.bbc.co.uk/news/world-asia-41391978
Here we go then...
http://www.bbc.co.uk/news/world-asia-41391978
Here we go then...
-
- Lemon Slice
- Posts: 325
- Joined: November 12th, 2016, 12:12 pm
- Has thanked: 120 times
- Been thanked: 102 times
Re: VIX
VIX closed at 9.19 this evening. I'm pretty sure that is an all time low on the close. Is this the new normal for the level of volatility as it has been low for a protracted period now?
F1 to F2 contango is 15.24% which is pretty high. SVXY is on a roll at the moment at an all time high.
Of course that could all change in an instant tomorrow.
F1 to F2 contango is 15.24% which is pretty high. SVXY is on a roll at the moment at an all time high.
Of course that could all change in an instant tomorrow.
-
- Lemon Quarter
- Posts: 3563
- Joined: November 7th, 2016, 1:56 pm
- Has thanked: 1590 times
- Been thanked: 1418 times
Re: VIX
langley59 wrote:VIX closed at 9.19 this evening. I'm pretty sure that is an all time low on the close. Is this the new normal for the level of volatility as it has been low for a protracted period now?
Of course that could all change in an instant tomorrow.
Too right. "Only when the tide goes out do you discover who's been swimming naked." [Buffett]
I've entered a backspread for December expiry, net credit. These are supposed to payoff bigly(*) on sharp move from a low level of volatility - we'll see.
(*)yes that's a word now all options traders have been lacking, thankyou President Trump!
-
- Lemon Quarter
- Posts: 3961
- Joined: November 4th, 2016, 1:04 pm
- Has thanked: 721 times
- Been thanked: 1583 times
Re: VIX
6 days on the trot with the VIX closing below 10 is really unusual. I am not going to bet against it staying low though. Done that before and either lost money or made very little. As a diversion, with 75% of my margin, I did make a 3% tax free return over the last 6 weeks on some Provident Financial bonds that the market took an irrational dislike to. The maturity payment arrived yesterday so I am ready to go with options again now should we see some fireworks. Non-farms this afternoon, which might be the catalyst we need.
Even oil has lacked interest. I am waiting for a drop in WTI below $50 before I go back into WTI puts.
Even oil has lacked interest. I am waiting for a drop in WTI below $50 before I go back into WTI puts.
-
- Lemon Quarter
- Posts: 3131
- Joined: November 4th, 2016, 3:39 pm
- Has thanked: 3060 times
- Been thanked: 554 times
Re: VIX
langley59 wrote:VIX closed at 9.19 this evening. I'm pretty sure that is an all time low on the close.
Yes it was.
'A popular measure of Wall Street volatility finished at an all-time low Thursday, highlighting a protracted period of market calm as stocks continue an extended push into record territory. The CBOE Volatility Index VIX often referred to as the market’s fear gauge, closed at 9.19, which marks the lowest close for the indicator since Dec. 22, 1993, when it ended at 9.31. The indicator was created that same year.'
http://www.marketwatch.com/story/wall-s ... 2017-10-05
The article includes some wider/deeper analysis of VIX recently vs historically.
-
- Lemon Quarter
- Posts: 3961
- Joined: November 4th, 2016, 1:04 pm
- Has thanked: 721 times
- Been thanked: 1583 times
Re: VIX
Now 7 days on the trot below 10. According to my stats that is the longest on record. Previous longest was 4 days back in December 1993.
A few hours after my posting about lack of volatility in oil WTI dropped 3% and implied vol jumped. Consequently I sold some DEC puts at 4400. Expiry is 15 November.
A few hours after my posting about lack of volatility in oil WTI dropped 3% and implied vol jumped. Consequently I sold some DEC puts at 4400. Expiry is 15 November.
-
- Lemon Slice
- Posts: 325
- Joined: November 12th, 2016, 12:12 pm
- Has thanked: 120 times
- Been thanked: 102 times
Re: VIX
Well today has certainly been dramatic. Spot VIX closed at 37.32 up 115% on the day and the usual contango between the first and second month futures has reverted to an enormous backwardation of 15.8%. SVXY crashed 32% during market hours and is now down by 80% after hours, demonstrating the extreme movements this trade can have.
For my part I sold out of my long SVXY position some time ago getting concerned about the inexorable rise and then I regretted it as it continued to rise. Now may well be the time for the brave to load up again, especially as IG Index now offer extended hours trading in SVXY (9am to 1am).
Just my opinion of course, not a recommendation!
For my part I sold out of my long SVXY position some time ago getting concerned about the inexorable rise and then I regretted it as it continued to rise. Now may well be the time for the brave to load up again, especially as IG Index now offer extended hours trading in SVXY (9am to 1am).
Just my opinion of course, not a recommendation!
-
- Lemon Slice
- Posts: 325
- Joined: November 12th, 2016, 12:12 pm
- Has thanked: 120 times
- Been thanked: 102 times
Re: VIX
Some discussion on Seeking Alpha about XIV possibly being subject to a forced liquidation if it falls by more than 80% in a day, I have not researched this. SVXY may well be different and from reading the prospectus I think that only applies if there is no demand for the product. This is a risk to consider nonetheless.
-
- Lemon Quarter
- Posts: 4465
- Joined: November 8th, 2016, 11:14 pm
- Has thanked: 1621 times
- Been thanked: 1619 times
Re: VIX
1nv35t wrote:At present high levels of volatility, short volatility going forward is a potential productive investment.
Not a one-way street though, by any means. VIX is ramping up again right now, after calming somewhat in the first couple of hours of European trading.
GS
-
- Lemon Slice
- Posts: 325
- Joined: November 12th, 2016, 12:12 pm
- Has thanked: 120 times
- Been thanked: 102 times
Re: VIX
XIV has announced that it is terminating its ETN:
https://heisenbergreport.com/2018/02/06 ... as-landed/
SVXY will carry on:
https://finance.yahoo.com/news/proshare ... 00592.html
https://heisenbergreport.com/2018/02/06 ... as-landed/
SVXY will carry on:
https://finance.yahoo.com/news/proshare ... 00592.html
-
- Lemon Half
- Posts: 6477
- Joined: November 8th, 2016, 11:33 pm
- Has thanked: 1572 times
- Been thanked: 983 times
Re: VIX
svxy news is good, but so far svxy isn't trading at least on my screens, so not sure what is going on.
Regards,
Regards,
-
- Lemon Slice
- Posts: 325
- Joined: November 12th, 2016, 12:12 pm
- Has thanked: 120 times
- Been thanked: 102 times
Re: VIX
The ProShares press release on SVXY indicates that they expect trading to restart today. I hope its soon as the vol futures have come right back down and I went long last night in the after hours trading.
-
- Lemon Half
- Posts: 6477
- Joined: November 8th, 2016, 11:33 pm
- Has thanked: 1572 times
- Been thanked: 983 times
Re: VIX
langley59
The ProShares press release on SVXY indicates that they expect trading to restart today. I hope its soon as the vol futures have come right back down and I went long last night in the after hours trading.
Kind of interesting that it has not happened so far.
Suggests its the regulators who are delaying the return, but why and for how long ...?
Regards,
-
- Lemon Half
- Posts: 6477
- Joined: November 8th, 2016, 11:33 pm
- Has thanked: 1572 times
- Been thanked: 983 times
Re: VIX
svxy now trading again at around 11 compared to last nights close of around 80.
Seems disproportionate compared to the Vix which closed yesterday at around 28 & is now 38.
Regards,
Seems disproportionate compared to the Vix which closed yesterday at around 28 & is now 38.
Regards,
-
- Lemon Half
- Posts: 6477
- Joined: November 8th, 2016, 11:33 pm
- Has thanked: 1572 times
- Been thanked: 983 times
Re: VIX
Langley57
Now trading at about the level it closed at last night in the after hours.
The fact that it is still alive shows the benefit of the ETF over the ETN I suppose.
Yes, it is a great blessing that it is still alive.
Wonder if it will get back to tracking the inverse vix or if it has been so shamed in the media that it must slowly perish.
The note from the provider is quite positive as to their belief it is still a valid instrument so one can at least hope.
The media articles that it was bust have been shown to be wrong which is also a plus.
Dunno, like to think in the by and by it will recover, but the current trading range leaves me concerned.
Regards,
-
- Lemon Half
- Posts: 6477
- Joined: November 8th, 2016, 11:33 pm
- Has thanked: 1572 times
- Been thanked: 983 times
Re: VIX
Interesting article on how svxy works:
https://sixfigureinvesting.com/2016/08/ ... svxy-work/
Very convenient that it isn't valued till 4:15, allowing shorts to pound it in the after hours to give us the situation we now have.
It took circa 5 years for the SVXY to go from its current level to those holding just before the recent volatility.
A long time to hold underwater if history repeats.
Regards,
https://sixfigureinvesting.com/2016/08/ ... svxy-work/
Very convenient that it isn't valued till 4:15, allowing shorts to pound it in the after hours to give us the situation we now have.
It took circa 5 years for the SVXY to go from its current level to those holding just before the recent volatility.
A long time to hold underwater if history repeats.
Regards,
Return to “Trading my way to a million”
Who is online
Users browsing this forum: Sorcery and 1 guest