Author Topic: Fun with VIX options  (Read 37233 times)

Financial.Velociraptor

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Re: Fun with VIX options
« Reply #250 on: February 08, 2018, 04:22:36 PM »
Down 8.26% in long UVXY put trade so far.

ChpBstrd

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Re: Fun with VIX options
« Reply #251 on: February 08, 2018, 07:25:43 PM »
Down 8.26% in long UVXY put trade so far.
My thoughts are that this is a trade which does not warrant stop limits. That loss could potentially be made up for in a couple weeks.

talltexan

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Re: Fun with VIX options
« Reply #252 on: February 09, 2018, 07:04:20 AM »
We all came into this trade knowing that a total wipeout was possible. FV was very open about that.

This is why I've tried to limit the amount in it to the amount I'll receive in dividends over the course of a year.

starguru

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Re: Fun with VIX options
« Reply #253 on: February 09, 2018, 09:58:33 AM »
Down 8.26% in long UVXY put trade so far.
I’m down 40% on my Jan 2019 $6 puts, according to fidelity.

With the VIX and uvxy higher does the strategy change at all.  Is it worth it to hold longer into the money?  Seems like there is more intrinsic value to be had.


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Financial.Velociraptor

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Re: Fun with VIX options
« Reply #254 on: February 09, 2018, 10:15:43 AM »
Down 8.26% in long UVXY put trade so far.
Im down 40% on my Jan 2019 $6 puts, according to fidelity.

With the VIX and uvxy higher does the strategy change at all.  Is it worth it to hold longer into the money?  Seems like there is more intrinsic value to be had.


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I've had to hold several strikes into the money after a ^VIX spike put me underwater to exit with a profit.  The key is holding the long dated options so time is on your side.  As of this morning, I am down 7.11%.  Hardly a catastrophic loss.

hodedofome

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Re: Fun with VIX options
« Reply #255 on: February 09, 2018, 11:08:30 AM »
S&P 500 going on it's worst weekly loss since September of 2008. Wow.

Hopefully we're just gonna re-test the overnight low from the futures this week then head back higher. We'll see.

So, in thinking about a strategy like FV (or mine) where you're betting on long-term decay in the ETF, what would it look like with a repeat of the late 90s? From 1995 to 2000 you had the VIX moving steadily higher. I'm wondering if the futures contango would have been reversed during that time and instead of a headwind in VXX/UVXY you'd have a tailwind.

Without past futures data back then we don't know for sure, but it's worth thinking about. Wondering if there should be a filter in our strategy to include persistent backwardation should that exist someday in the future.


starguru

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Re: Fun with VIX options
« Reply #256 on: February 09, 2018, 12:53:10 PM »
Down 8.26% in long UVXY put trade so far.
Im down 40% on my Jan 2019 $6 puts, according to fidelity.

With the VIX and uvxy higher does the strategy change at all.  Is it worth it to hold longer into the money?  Seems like there is more intrinsic value to be had.


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I've had to hold several strikes into the money after a ^VIX spike put me underwater to exit with a profit.  The key is holding the long dated options so time is on your side.  As of this morning, I am down 7.11%.  Hardly a catastrophic loss.

Would doubling down be a bad idea?  I'm only using .25% of my portfolio for this.  Seems like there is incredible opportunity if UVXY returns to its normal decay?

Financial.Velociraptor

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Re: Fun with VIX options
« Reply #257 on: February 09, 2018, 01:58:13 PM »
Down 8.26% in long UVXY put trade so far.
Im down 40% on my Jan 2019 $6 puts, according to fidelity.

With the VIX and uvxy higher does the strategy change at all.  Is it worth it to hold longer into the money?  Seems like there is more intrinsic value to be had.


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I've had to hold several strikes into the money after a ^VIX spike put me underwater to exit with a profit.  The key is holding the long dated options so time is on your side.  As of this morning, I am down 7.11%.  Hardly a catastrophic loss.

Would doubling down be a bad idea?  I'm only using .25% of my portfolio for this.  Seems like there is incredible opportunity if UVXY returns to its normal decay?

Maybe.  I wouldn't try it.  The thing is the volatility component of pricing is "high" right now.  You are going to pay a dear price for your puts.  If volatility reverts to mean (almost everything in finance does eventually), you are going lose that part of the premium.  It is an almost sure bet you'd still  make money by holding "long enough" but you are likely to have a period where the new puts are 'dead money' for a number of months as that spike in the pricing fades along with price of the underlying after the correction ends.  If I get a chance to exit this trade at break even next week, I'll take it and wait for about UVXY 15 pricing before getting back in.  This is what I have done in the past and it worked out pretty well.

0.25%...big spender!   Hah just kidding.  I started out microscopically small like you and increased my allocation over time as I got comfortable.  Ten percent of my portfolio is my limit though.  Don't think I'll ever go higher.

starguru

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Re: Fun with VIX options
« Reply #258 on: February 09, 2018, 02:19:26 PM »
Down 8.26% in long UVXY put trade so far.
I’m down 40% on my Jan 2019 $6 puts, according to fidelity.

With the VIX and uvxy higher does the strategy change at all.  Is it worth it to hold longer into the money?  Seems like there is more intrinsic value to be had.


Sent from my iPhone using Tapatalk

I've had to hold several strikes into the money after a ^VIX spike put me underwater to exit with a profit.  The key is holding the long dated options so time is on your side.  As of this morning, I am down 7.11%.  Hardly a catastrophic loss.

Would doubling down be a bad idea?  I'm only using .25% of my portfolio for this.  Seems like there is incredible opportunity if UVXY returns to its normal decay?

Maybe.  I wouldn't try it.  The thing is the volatility component of pricing is "high" right now.  You are going to pay a dear price for your puts.  If volatility reverts to mean (almost everything in finance does eventually), you are going lose that part of the premium.  It is an almost sure bet you'd still  make money by holding "long enough" but you are likely to have a period where the new puts are 'dead money' for a number of months as that spike in the pricing fades along with price of the underlying after the correction ends.  If I get a chance to exit this trade at break even next week, I'll take it and wait for about UVXY 15 pricing before getting back in.  This is what I have done in the past and it worked out pretty well.

0.25%...big spender!   Hah just kidding.  I started out microscopically small like you and increased my allocation over time as I got comfortable.  Ten percent of my portfolio is my limit though.  Don't think I'll ever go higher.

How would you be able to break even next week, assuming UVXY does not fall to where it was before this spike? 

.25% is still $5k :).  Wasn’t comfortable risking more. But this experience is actually good to have.  We’ll all get some experience on what a spike feels like.  In the grand scheme of spikes, I wonder how common this kind of thing is. 


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Financial.Velociraptor

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Re: Fun with VIX options
« Reply #259 on: February 09, 2018, 02:41:27 PM »

How would you be able to break even next week, assuming UVXY does not fall to where it was before this spike? 

.25% is still $5k :).  Wasnt comfortable risking more. But this experience is actually good to have.  Well all get some experience on what a spike feels like.  In the grand scheme of spikes, I wonder how common this kind of thing is. 


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A couple days ago, my puts were just 1 penny underwater.  If the volatility premium gets high enough, it could happen.  I've actually sold into vol spikes because my puts temporarily showed a fat profit even though the underlying was moving the "wrong" direction. 

Financial.Velociraptor

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ChpBstrd

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Re: Fun with VIX options
« Reply #261 on: February 09, 2018, 02:52:59 PM »
UVXY has historically fallen fastest right after a big spike (and typically those last a couple weeks). Then you see a return to long term trendlines.

However, as FV points out, option prices are sky high right now across the board. So buying more puts to capture this hoped-for decline would be expensive.

If I had to make a bet right now and it had to be on UVXY, I might consider a very long duration synthetic short (sell a call at $X, buy a put at $X). You could in theory enter this trade with very little capital because the call pays for the put. Then, a few months or a year post-correction, when UVXY is back to its old self, you're doing quite well. It's also a time decay neutral strategy. I personally don't have the courage to do this trade, because the potential loss is infinite and I don't like the idea of managing margin calls during my day job. Spending a few extra bucks to buy another call at a relatively high UVXY price would mitigate that risk.

Another way to leverage an anticipated future decline in UVXY without paying for high implied volatility would be to buy a put in UVXY and sell a put in its opposite (and trading partner) SVXY. I can't even calculate the leverage, but it's roughly time neutral and IV neutral. Again, it would take guts of steel.

If you're not interested in such bet-the-farm-on-a-return-of-normalacy strategies, it's probably best to either hold-and-watch or adjust your strike prices. I.e. my $5 strikes have a much lower delta than they used to, so on Monday I might swap them for 18s or 20s to reset my risk to what I originally had in mind while volatility is still supporting the prices of the lower strikes. Or I might cash out and rebuy those same options in a couple weeks if IV has lowered their price.


hodedofome

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Re: Fun with VIX options
« Reply #262 on: February 09, 2018, 06:44:41 PM »
Did everyone see this on bloomberg?

https://www.bloomberg.com/news/articles/2018-02-09/vix-surge-hands-8-600-profit-to-a-tiny-hedge-fund-in-colorado?utm_source=yahoo&utm_medium=bd&utm_campaign=headline&cmpId=yhoo.headline&yptr=yahoo


They made a crazy CAGR on that bet, but still isnt going to affect their funds performance very much as $17 million for a $350 million fund is only 0.5%.

You hear about the Target employee? Apparently he didnt blow up through all of this which is pretty amazing.

hodedofome

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Re: Fun with VIX options
« Reply #263 on: February 09, 2018, 07:01:30 PM »
https://www.zerohedge.com/news/2018-02-06/here-what-was-behind-largest-vix-buy-order-history

One nice thing about the stock market is that its closed on the weekends. Those crypto currency guys have to suffer through losses on the weekends too lol. They get no rest from their pain.
« Last Edit: February 09, 2018, 08:57:28 PM by hodedofome »

thunderball

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Re: Fun with VIX options
« Reply #264 on: February 11, 2018, 06:35:30 AM »
Target guy's 'stache was trimmed from $12MM to $3MM, but he's sticking to his strategy.   

https://www.marketwatch.com/story/former-target-manager-doubles-down-600000-bet-against-volatility-2018-02-07

hodedofome

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Re: Fun with VIX options
« Reply #265 on: February 11, 2018, 07:56:27 AM »
Target guy's 'stache was trimmed from $12MM to $3MM, but he's sticking to his strategy.   

https://www.marketwatch.com/story/former-target-manager-doubles-down-600000-bet-against-volatility-2018-02-07

Its possible his strategy doesnt work any longer. But usually, when theres a washout like this, the strategy works pretty good for a while as everyone else has left the market.

ChpBstrd

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Re: Fun with VIX options
« Reply #266 on: February 11, 2018, 08:35:27 PM »
The short VIX trade is like betting on both black and red on a roulette wheel, with the dealer betting on green. Yes, people have amassed fortunes parlaying their funds in trade after trade, but at some point despite its improbability, green will come around.

The UVXY put trade is like betting green doesn't come up two or three rolls in a row.

hodedofome

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Re: Fun with VIX options
« Reply #267 on: February 12, 2018, 08:44:50 AM »
The short VIX trade is like betting on both black and red on a roulette wheel, with the dealer betting on green. Yes, people have amassed fortunes parlaying their funds in trade after trade, but at some point despite its improbability, green will come around.

The UVXY put trade is like betting green doesn't come up two or three rolls in a row.

One has to remember that VXX increased in value 8x from 2007-2009, so your account better to be able to survive that. Or your strategy has to kick you out of the short at some point.

hodedofome

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Re: Fun with VIX options
« Reply #268 on: February 12, 2018, 03:08:31 PM »
We should keep this chart handy and find out where to get real time updates (Without buying a Bloomberg).


starguru

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Re: Fun with VIX options
« Reply #269 on: February 12, 2018, 03:18:21 PM »
We should keep this chart handy and find out where to get real time updates (Without buying a Bloomberg).


What am I looking at in that chart?


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hodedofome

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Re: Fun with VIX options
« Reply #270 on: February 12, 2018, 03:34:41 PM »
Sorry, the chart is from here: https://www.zerohedge.com/news/2018-02-06/here-what-was-behind-largest-vix-buy-order-history

I read somewhere else that volatility ETPs are the main market players in VIX futures now, so what happens with them moves the market in a big way. Typically they have been net long, but a few times they've been net short and it appears from the chart that seems to happen right before a big short squeeze. XIV did poorly the back half of 2014, as well as all through 2015. Perhaps this chart could help us lighten up our shorts (or perhaps buy some lottery ticket insurance) in the future when this happens again.

Financial.Velociraptor

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Financial.Velociraptor

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Re: Fun with VIX options
« Reply #272 on: February 13, 2018, 11:32:53 AM »
VXX and UVXY are back to "normal" trading volumes today.  They have seen massively inflated volume up until now.   Possibly a sign the correction has stalled and we are back to normalcy in for the S&P.

Financial.Velociraptor

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RichMoose

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Re: Fun with VIX options
« Reply #274 on: February 13, 2018, 01:17:35 PM »
Also, this: https://finance.yahoo.com/m/c5bf9fbc-79b1-36f7-8340-1672f131d4d2/%E2%80%9850-cent%E2%80%99-vix-trade-just-paid.html
Wow! Huge, huge trade. I must say I winced a little seeing that line go down to -$200,000,000. Whoever this trader is, they were clearly managing a lot of money!

hodedofome

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Re: Fun with VIX options
« Reply #275 on: February 13, 2018, 03:00:44 PM »
My VXX short is back in the black as of today.

I had to buy back 10% of my short late last week as I got a margin violation warning from Interactive Brokers. It's not that the trade went that far against me, but that I had taken out some money to renovate a new house I bought this fall. I figured we'd have another year or so before an ugly correction caused a large spike in VXX, and by then I'd have a large enough profit to not care. I was also anticipating paying that money back I borrowed from myself in the next year.

Needless to say, the spike happened sooner than anticipated, and without that extra cushion from the money I took out, I was running too far on the edge. I deposited some money early last week, but it didn't become active in my account till the weekend so I went ahead and covered a little bit of the short just so I wouldn't be forcefully liquidated the whole position by IB.

Lessons learned...

Financial.Velociraptor

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Re: Fun with VIX options
« Reply #276 on: February 13, 2018, 04:30:19 PM »
My VXX short is back in the black as of today.

I had to buy back 10% of my short late last week as I got a margin violation warning from Interactive Brokers. It's not that the trade went that far against me, but that I had taken out some money to renovate a new house I bought this fall. I figured we'd have another year or so before an ugly correction caused a large spike in VXX, and by then I'd have a large enough profit to not care. I was also anticipating paying that money back I borrowed from myself in the next year.

Needless to say, the spike happened sooner than anticipated, and without that extra cushion from the money I took out, I was running too far on the edge. I deposited some money early last week, but it didn't become active in my account till the weekend so I went ahead and covered a little bit of the short just so I wouldn't be forcefully liquidated the whole position by IB.

Lessons learned...

What is IB charging you to borrow shares?  The rate on UVXY is always punitive.

hodedofome

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Re: Fun with VIX options
« Reply #277 on: February 13, 2018, 08:36:04 PM »
UVXY is horrible, like 30%. VXX is reasonable I think 3-5% usually. Not bad when you consider the average return for VXXs life is almost 60% per year.

hodedofome

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Re: Fun with VIX options
« Reply #278 on: February 14, 2018, 10:28:58 AM »
Stocks only up slightly so far today but volatility is getting destroyed. We're almost back into contango with the VIX futures so I'll probably reload the shares I covered in VXX last week. Hold time is hopefully forever...

With an outright VXX short, I can basically 'sell and hold' forever. This helps tremendously as far as taxes are concerned. As long as the VIX contango continues indefinitely, VXX should fall the rest of our lives. The main trick is managing the adds to the short as well as margin. I didn't manage my margin well this time, will learn my lesson for next time.

After hours update: alllllmost there for contango. Front month and 2nd month are breakeven now http://www.tradingvolatility.net/p/datasourceurldocs.html
« Last Edit: February 14, 2018, 03:14:33 PM by hodedofome »

hgjjgkj

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Re: Fun with VIX options
« Reply #279 on: February 15, 2018, 08:02:59 AM »
https://www.nasdaq.com/symbol/uvxy/option-chain/200117P00005000-uvxy-put

So when looking at the greeks, am I correct in saying that all the greeks are negative due to backwardation, and once contango comes back in Theta and Delta will switch signs?

RichMoose

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Re: Fun with VIX options
« Reply #280 on: February 15, 2018, 08:45:24 AM »
I wonder how many investors are going to pour back into this trade after getting burned so bad. I'm thinking quite a few...

hodedofome

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Re: Fun with VIX options
« Reply #281 on: February 15, 2018, 09:59:18 AM »
I wonder how many investors are going to pour back into this trade after getting burned so bad. I'm thinking quite a few...

The ones who didn't blow up their account might. The ones who did...it may be a while.

I'm thinking more than a few got into this trade through the money they had in a retirement account which would have been XIV. That ETF is no longer so they'll either need to use options on VXX/UVXY or just not participate.

Financial.Velociraptor

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Re: Fun with VIX options
« Reply #282 on: February 15, 2018, 10:04:13 AM »
UVXY is horrible, like 30%. VXX is reasonable I think 3-5% usually. Not bad when you consider the average return for VXXs life is almost 60% per year.

How long have you been short VXX and have you ever gotten a notice from IB that shares to borrow are scarce and you might be forced to buy back your borrowed shares if no inventory can be found overnight?  I used to get that notice frequently when shorting UVXY.  I finally closed rather than be exposed to forced closing.

hodedofome

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Re: Fun with VIX options
« Reply #283 on: February 15, 2018, 10:15:11 AM »
UVXY is horrible, like 30%. VXX is reasonable I think 3-5% usually. Not bad when you consider the average return for VXXs life is almost 60% per year.

How long have you been short VXX and have you ever gotten a notice from IB that shares to borrow are scarce and you might be forced to buy back your borrowed shares if no inventory can be found overnight?  I used to get that notice frequently when shorting UVXY.  I finally closed rather than be exposed to forced closing.

I started shorting VXX maybe 1.5 years ago and I've remained short ever since. So far haven't had any forced closes. Seems to be millions of shares to borrow in VXX at any given time.

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Re: Fun with VIX options
« Reply #284 on: February 15, 2018, 10:20:44 AM »
I wonder how many investors are going to pour back into this trade after getting burned so bad. I'm thinking quite a few...

The ones who didn't blow up their account might. The ones who did...it may be a while.

I'm thinking more than a few got into this trade through the money they had in a retirement account which would have been XIV. That ETF is no longer so they'll either need to use options on VXX/UVXY or just not participate.
I think SVXY is still alive as well. Although the strategy is a bit different, ZIV is also a viable choice.

hodedofome

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Re: Fun with VIX options
« Reply #285 on: February 15, 2018, 10:31:24 AM »
You are correct, UVXY is still around if you enjoy losing 90% of your money overnight (which could take years and years to break even) and ZIV is still around but lacks the same punch.

If forced I'd choose ZIV for the long term.

hodedofome

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Re: Fun with VIX options
« Reply #286 on: February 15, 2018, 10:49:02 AM »
As far as I can tell, this trade will continue to work well as long as there is persistent contango in VIX futures. We can't have too much of the market on one side, otherwise we'll get more frequent short squeezes like this one. That'll eat into long term returns if this kind of thing happens too often.

As I see it:

1) Too many people piling into the trade

and/or

2) A generally rising volatility market (perhaps like the '90s)

Will cause this trade to not work as well (or at all) in the future.

ChpBstrd

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Re: Fun with VIX options
« Reply #287 on: February 15, 2018, 07:05:20 PM »
As far as I can tell, this trade will continue to work well as long as there is persistent contango in VIX futures. We can't have too much of the market on one side, otherwise we'll get more frequent short squeezes like this one. That'll eat into long term returns if this kind of thing happens too often.

As I see it:

1) Too many people piling into the trade

and/or

2) A generally rising volatility market (perhaps like the '90s)

Will cause this trade to not work as well (or at all) in the future.

1) If too many people piled into short VIX futures positions, an equilibrium would have to develop where the prices of short positions increased until somebody was willing to trade long positions. This price would be based more on the auction dynamics than the thing the VIX is supposed to measure - S&P 500 options. This situation would set up an arbitrage opportunity for buyers of the contract to hold until delivery, right? Unless there's a mechanism where interest in VIX futures actually depresses the implied volatility of S&P options, I'm not sure this would affect anything. (Of course, any bubble that wipes out billions of dollars in investor positions will bleed over to equities, as we've learned.)

2) I would expect a generally rising or more volatile VIX to be reflected in the price of futures contracts, once expectations caught up. I think the risk premium (potential profitability of the trade) will persist or widen.

Overall this is an insurance market. The attractiveness of VIX futures - why people are willing to pay above spot price for futures - is its perceived usefulness as a hedge. More hurricanes = fatter premiums but a harder environment to consistently make money in. This trade with a more volatile VIX may mean making 25% nine times out of ten and losing 100% on the tenth.


hodedofome

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Re: Fun with VIX options
« Reply #289 on: February 27, 2018, 09:32:52 AM »
http://www.tradingvolatility.net/2018/02/new-pair-of-volatility-funds-to-hit.html

http://www.tradingvolatility.net/2018/02/svxy-and-uvxy-to-be-re-purposed-feb-28.html

Looks like VMIN, VMAX, UVXY and SVXY are going to get deleveraged a bit. I would imagine this would affect the UVXY put trade that is popular on this thread.

ChpBstrd

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Re: Fun with VIX options
« Reply #290 on: February 27, 2018, 11:53:53 AM »
Yes, my UVXY puts plummeted today - I suppose on expectations of reduced volatility in UVXY's price. The question is how they will implement the change, and will this ETF continue to bleed from contango at the rates they've done in the past. I imagine they will switch to trading futures contracts of different durations.

Financial.Velociraptor

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Re: Fun with VIX options
« Reply #291 on: February 27, 2018, 03:54:04 PM »
I'm 35% underwater in the UVXY trade after the surprise announcement to cut leverage from 2x to 1.5x.


specialkayme

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Re: Fun with VIX options
« Reply #293 on: February 28, 2018, 12:34:10 PM »
Perhaps someone on here can help me get back on track.

I started doing some paper trading in early January, tracking some of the strategies discussed here: http://www.naaim.org/wp-content/uploads/2013/10/00R_Easy-Volatility-Investing-+-Abstract-Tony-Cooper.pdf to see if I felt comfortable trading under one of them. Namely, I watched xivinvestment.com and charted 2x a week three different strategies:

1. A comparison of VIX and VXV, buying whichever is lower (if VIX, buy XIV, if VXV, buy VXX) - (essentially Strategy 3)
2. Same as #1, but use a 10 day moving average of both VIX and VXV (essentially Strategy 4)
3. Use a VIX:VXV ratio, where if the ratio goes 0.95 and under you buy XIV, and 1.05 and over you buy VXX (a modified strategy found here http://volatilitymadesimple.com/vix-mores-vixvxv-ratio/)

Since early January, VIX went crazy and XIV went defunct. Scottrade merged into TDAmeritrade and I can't find anything on my trading platform. I was able to replace XIV with SVXY (close enough). Yesterday I went to check the VIX:VXV ratio, and I can't pull a value for VXV. Yahoo Finance shows it at 0.00 (https://finance.yahoo.com/quote/%5EVXV/chart?p=%5EVXV#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%3D%3D)). TD doesn't recognize it as even existing. XIVinvestment.com is calling for a trigger to buy SVXY (their replacement for XIV) today, but I can't check the ratio of the VIX:VXV to tell what caused the trigger. I'm VERY happy I was paper trading at this point.

Can anyone explain what's going on? And what I can use to replace VXV in the ratios relative to the article?

hodedofome

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Re: Fun with VIX options
« Reply #294 on: March 02, 2018, 10:44:50 AM »
I haven't checked lately but I've used vixcentral.com quite a bit in the past for lots of free data, you might try there.

specialkayme

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Re: Fun with VIX options
« Reply #295 on: March 02, 2018, 12:14:34 PM »
vixcentral.com is showing the current prices of VIX and VXV, and the ratio between them, but I'm not able to see the 10DMA of either from that site.

But more importantly, I don't understand why VXV's information is suddenly disappearing. TDAmeritrade isn't recognizing it as in existence. Neither is CBOE's website (which my understanding was VXV was CBOE's, right?). Yahoo finance isn't pulling it up either (although it says it exists, it says its value is $0.00, which is better than TD and CBOE which don't recognize it as existing). A few secondary websites are still able to pull quotes on it (https://www.barchart.com/stocks/quotes/$VXV and https://ycharts.com/indices/%5EVXV and http://vixcentral.com/ for example), but I don't understand how they are able to get price quotes on it when CBOE isn't even recognizing it as existing.

In theory I could replace VXV with VIX3M, which I believe is supposed to track the same thing, but my lack of understanding on what's going on here is a giant red flag to me (TD recognizes VIX3M exists, although it attempts to call it $VIX3M.X, but won't let me actually view it, and should I search for "$VIX3M.X" it tells me that doesn't exist . . . which may be an issue with TD or it may be an issue with my lack of experience in using TD).

ChpBstrd

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Re: Fun with VIX options
« Reply #296 on: March 05, 2018, 11:48:17 AM »
Different brokers and quote services (for whatever reason) require the use of different special characters to quote the same indexes. I suppose this software feature is to prevent the possibility that an index could be confused with a share.

My broker uses $VIX.X for "CBOE Volatility Index S&P500". The other symbol you provides appears to be limited to the 3 months-out contract.

You can trade options on the index above, and I've been trying to figure out a way to arbitrage the inefficiencies of funds like UVXY and SVXY against the index. E.g. buy a straddle on one and sell a straddle on the other. Let me know if you figure it out!

specialkayme

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Re: Fun with VIX options
« Reply #297 on: March 05, 2018, 12:10:11 PM »
My broker uses $VIX.X for "CBOE Volatility Index S&P500". The other symbol you provides appears to be limited to the 3 months-out contract.

The VIX is the measurement of volatility over the next 30 days.
VXV is the measurement of volatility over the next 3 months.
Using a ratio between the two allows me to measure how much contango or backwardation is occurring. At least, theoretically.

Yes, different quote services require the use of different special characters. For some reason, VIX is was easily found, but for some reason VXV was not easily found. I know it exists, because I searched it and found it 2 weeks ago. I just couldn't find it now.

After screwing around online for the better part of a week, I finally found the answer:

"the ticker symbol for the Cboe 3-Month Volatility Index was changed from VXV to VIX3M"

For some reason, Yahoo Finance isn't taking the transition very well. Under "^VXV" it's showing all the historical data on the Cboe 3-Month Volatility Index, but not the current price. Under ^VIX3M it's showing the current price, but not the historical data. TD appears to be even more confused.

"Le sigh"

At least I got my answer. Now trying to dig to find my information . . . .

ChpBstrd

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Re: Fun with VIX options
« Reply #298 on: March 05, 2018, 07:31:28 PM »
I'm 35% underwater in the UVXY trade after the surprise announcement to cut leverage from 2x to 1.5x.

The current backwardization situation has UVXY actually making money on its daily rolls.

https://www.barchart.com/futures/quotes/VI*0/all-futures?viewName=main

Given that this situation could persist for weeks, I wonder if I should take my losses on the UVXY puts now and re-enter the trade after observing a return to contango. I.e. without the main rationale for the trade in place, why keep it? I also wonder if the increased use of swaps has permanently reduced UVXY's speed of descent.

Then again, a burst of tariff activity by our "stable genius" has me wondering if the time has run out on a trade that was always a pro-cyclical bet on stability. VIX options might be less "fun" for a while.

hodedofome

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Re: Fun with VIX options
« Reply #299 on: March 09, 2018, 10:20:51 AM »
We're back in contango on the VIX futures.

http://www.tradingvolatility.net/p/datasourceurldocs.html