pthomas215
1,251 posts
msg #131623
- Ignore pthomas215 |
9/30/2016 11:38:22 AM
dtatu, could you explain how you interpret it? I did the F1 and F2--not sure I understand how I use the chart as a predictive model for vix? Thank you.
|
dtatu
143 posts
msg #131631
- Ignore dtatu
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.
|
pthomas215
1,251 posts
msg #131634
- Ignore pthomas215 |
9/30/2016 2:40:39 PM
I think i get it now...thank you.
|
BarTune1
441 posts
msg #131638
- Ignore BarTune1 |
9/30/2016 3:10:23 PM
I did some reading and it may be possible to construct a synthetic long on the VIX by buying a near-term VIX call and selling a near-term VIX put. Normally a Call - Put = forward or synthetic stock. You could create a synthetic short by selling the call and buying the put.
Looking at the CBOE site today ... they have the VIX trading at 12.77 down 1.25 (delayed).
There seems to be decent volume on October 2016 (Expiration: 10/05) calls and puts.
The call shows
VIX1605J13.5-E 0.70 -0.90 0.55 0.70 2687 3065
The put at the same strike shows
VIX1605V13.5-E 0.50 +0.30 0.40 0.55 4757 14346
If you were long the call ... you'd be down 90 cents on the contract and you'd also be down 30 cents on the put as its up today 30 cents. The last column is volume so there is decent liquidity in these contracts.
The net combination is that you'd be down $1.20 today on this synthetic VIX share whereas they have the VIX being down $1.25 (almost 10%). That looks like decent tracking. I have the VXX down 4.92%.
I'm not sure about all this - I've traded alot of options but never VIX options on the CBOE. Just putting this out there for discussion purposes.
|
Kevin_in_GA
4,599 posts
msg #131645
- Ignore Kevin_in_GA
modified |
9/30/2016 9:57:23 PM
SIGNALS FOR MONDAY 10/3/16
A NEW LONG BUY SIGNAL WAS TRIGGERED FROM VIX LONG SIGNAL #9.
| OPEN TRADES | Date Opened | ^VIX Opening Value | Date Closed | ^VIX Closing Value | Net Gain/Loss (%) |
|---|
| LONG ^VIX | 9/27/2016 | 13.36 | - - - - - | 13.29 | -0.52% | | LONG ^VIX | 9/28/2016 | 12.90 | - - - - - | 13.29 | +3.02% | | | | | | | |
| CLOSED TRADES | Date Opened | ^VIX Opening Value | Date Closed | ^VIX Closing Value | Net Gain/Loss (%) |
| SHORT^VIX | 8/29/2016 | 14.07 | 9/8/2016 | 11.76 | +16.42% | | LONG ^VIX | 9/6/2016 | 12.54 | 9/12/2016 | 20.13 | +61.66% | | LONG ^VIX | 9/9/2016 | 12.44 | 9/12/2016 | 20.13 | +60.37% | | LONG ^VIX | 9/13/2016 | 15.98 | 9/14/2016 | 17.63 | +10.32% | | SHORT ^VIX | 9/12/2016 | 20.13 | 9/19/2016 | 15.16 | +24.61% | | SHORT ^VIX | 9/9/2016 | 12.52 | 9/22/16 | 13.41 | -7.28% | | SHORT ^VIX | 9/12/2016 | 20.13 | 9/22/16 | 13.41 | +33.32% | | SHORT ^VIX | 9/14/2016 | 17.63 | 9/23/16 | 12.02 | +31.74% |
|
mahkoh
1,065 posts
msg #131648
- Ignore mahkoh
modified |
10/1/2016 6:05:31 AM
My take:
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.
For short signals use this filter
The top pick will give you the stock that most correlated with ^VIX during the last 20 days. No guarantee that it will perform likewise in the next 10 days, but it may be the best guess.
|
dtatu
143 posts
msg #131649
- Ignore dtatu
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.
|
tennisplayer2
210 posts
msg #131650
- Ignore tennisplayer2 |
10/1/2016 8:38:11 AM
Kevin, did you get a trigger by VIX long filter #9 for a new ^VIX buy for Monday? Thanks.
|
Kevin_in_GA
4,599 posts
msg #131651
- Ignore Kevin_in_GA |
10/1/2016 9:46:50 AM
Kevin, did you get a trigger by VIX long filter #9 for a new ^VIX buy for Monday? Thanks.
+++++
I run this on two machines - one gave me the BUY signal and the other didn't (even though as far as I can tell the settings are identical). Given this confusion I opted not to report it - glad to see others are using the SS codes!
I would say that if you are seeing it and I am seeing it (at least once) that it might be a viable signal. Anyone else running this on SS and if so what were your results?
|
dtatu
143 posts
msg #131653
- Ignore dtatu
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?
|