gmg733
788 posts
msg #131687
- Ignore gmg733 |
10/2/2016 4:23:02 PM
I was not trying to argue. I'm always open to opinions. It makes me a better trader. Sorry if it came off that way.
Options spreads on the Vix is what I am proposing. It is just unconventional for sure selling in the money options. But being cash settled and defining my risk on order entry is what makes it appealing to me. You can tweak the risk/reward if you wanted too. I just started with a 1:1. I like to trade a lot and keep it small so I have not looked at Vix futures (though I do trade futures a lot) and with good reason. Doing a Vix futures spread is a no-no for me. I also don't use stops. No need to on defined risk for sure, it's that risk is defined on order entry thing again. I know my max loss on entry. Let the trade play out.
This is great dialog nonetheless. I plan to paper trade naked debit spreads on Vix options just to see how they behave in realtion to the systems results. What worries me about Vix options is the bid/ask differential. Is it going to be tight enough to enable gains on positions that only get small moves.
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gmg733
788 posts
msg #131688
- Ignore gmg733 |
10/2/2016 4:36:07 PM
@dtatu
Is this what you want? /VX. http://www.cboe.com/micro/eth/
/Es. http://www.cmegroup.com/trading-hours.html#equityIndex
Es closes at 3:15p daily and reopens at 3:30p.
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gmg733
788 posts
msg #131690
- Ignore gmg733
modified |
10/2/2016 4:43:02 PM
I re read your note. The next day's opens current day minus weekend stuff. So the 30 th session opens on the 29th. I know the ES and VX futures work this way. Some other futures do not, cotton, coffee and etc have different hours
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mahkoh
1,065 posts
msg #131691
- Ignore mahkoh |
10/2/2016 5:11:14 PM
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?
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Futures do have a multiplier of 1000, but I was talking about the options.
Deep in the money, true. But if we trade upon a signal that VIX is likely to decrease in value, then why limit our profit potential? The only possible benefit I can think of from choosing a higher strike would be that maybe you have to put up a little less margin, but I actually doubt that.
But you are correct that a 30 % spike down is far less likely than the same % spike up.
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dtatu
143 posts
msg #131692
- Ignore dtatu
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.
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dtatu
143 posts
msg #131693
- Ignore dtatu |
10/2/2016 10:17:52 PM
Gmg733
Thanks for the infos ( yes, the 2 message is the one I was looking for)
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mahkoh
1,065 posts
msg #131694
- Ignore mahkoh |
10/3/2016 7:11:40 AM
I don't know, I bought the Oct18 10 call for 5.40 and paid $540 for it.
The max days hold for the strategy is 10 days, if a position goes against you probably just have to take the loss. Fortunately there should be plenty of winners.
The suggested call to buy is more of an armageddon insurance than part of a spread. You can reduce the risk by choosing a lower strike, but this comes with higher premium. Considering the expected winrate of the strategy I would choose lower premium.
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dtatu
143 posts
msg #131695
- Ignore dtatu
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
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Kevin_in_GA
4,599 posts
msg #131697
- Ignore Kevin_in_GA
modified |
10/3/2016 9:44:45 AM
I placed a limit order for 1000 shares of VXX at $34.25. Currently holding 2000 shares at an average cost of $33.995. Just seeing if I can catch it at a slightly better price, but I run the risk of it not getting filled.
10:01 AM - order filled. Now holding 3000 shares of VXX at an average cost of $34.08
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graftonian
1,089 posts
msg #131698
- Ignore graftonian |
10/3/2016 10:45:30 AM
Holding UVXY at $16.52
Bought TVIX in pre-market at $18.57
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