| StockFetcher Forums · Filter Exchange · A NEW ^VIX TRADING SYSTEM | << 1 ... 4 5 6 7 8 ... 49 >>Post Follow-up |
| gmg733 788 posts msg #131241 - Ignore gmg733 modified |
9/17/2016 7:02:41 PM I actually had about an hour to look at the last set of trades that Kevin has post, 4 closed ones. My one hour conclusion was the most profitable way to trade this with Vix options is long calls for long and short calls for short Vix. Buying puts did make a profit but on a percentage basis selling calls was better for shorts (which is what I do in my trading, spreads actually). Why? Good question. When playing the options on Vix it isn't a delta play. It's a vega play. And this makes sense at least to me. Btw, I hate buying options. Period. So why does this work. Well if you assume Vix is low when the system triggers a buy or long your vega is very very low. A pop in the vix will mean a pop in vega making the value of the call much higher. Yes there is a delta and a gamma component, but my theory is your net gains are mostly from vega. I need more time to quantify that. This is also verify in the short end of the Vix. If you buy a short put, it is profitable. But shorting the calls is more profitable. My sample is too small to have a conviction but logically it makes sense. When Vix is higher the vega component is naturally higher. So if you buy puts you are buying high vol. if you sell calls you are selling high vol. and if you know anything about trading options the pros like selling vol. vol is mean reverting unlike price. Also, why not just sell puts to get long Vix. There is no premium in them i.e. no vol. you'd be selling dime options. On the last short signal I sold ITM call spread on VXX. It is up and the price of Vxx hadn't hardly moved. To tell a little secret I learned this from another trader. If Vxx loses 5% a month on average, buy an ATM call and sell a further ITM. The only problem with Vxx is there is assignment risk. Whereas with Vix options it is cash settled. I'll have more later I hope. As a side note, a /VX future is north of $6k I thought. So some smaller accounts will not be out for this trade. Ah so much to do and no time to do it Thanks |
| shainadir 25 posts msg #131248 - Ignore shainadir modified |
9/18/2016 1:54:34 AM Great work as always Kevin.. I'm running the codes in stratasearch and am getting an error on Vix Long Signal 7. The Entry string is fine but the Exit string is giving me the following error: Missing operator: ($daysheld > 10) I would appreciate it if you would take a look. Thanks. S. |
| mahkoh 1,065 posts msg #131250 - Ignore mahkoh |
9/18/2016 3:35:30 AM Shillis, I don't understand. You kill it everyday, yet you don't want to spend $30 a month on something that can make you even more wealthy? All you'd need to do is copy Kevin's code into a multisystem and you're good to go. |
| Kevin_in_GA 4,599 posts msg #131252 - Ignore Kevin_in_GA modified |
9/18/2016 8:58:26 AM I'm running the codes in stratasearch and am getting an error on Vix Long Signal 7. The Entry string is fine but the Exit string is giving me the following error: Missing operator: ($daysheld > 10) ++++++++++ You are missing the word OR preceding $daysheld Also, anyone wanting to copy this needs to do two other things: 1. Import ^VIX data: This is not automatically done. You need to go to File -> Import Prices ... and choose Source Type = Yahoo! Finance. Then move down to Yahoo! Finance settings and edit the Indexes file "indices.csv" by adding the following line at the bottom: ^VIX,^VIX,CBOE Volatility Index Save the file and Import Prices. 2. Create a new sector called VIX: Go to Setups -> Sector Setups and "Add" a new sector called VIX. Add the ^VIX symbol and save. Now you can run these strategies. |
| shillllihs 6,097 posts msg #131254 - Ignore shillllihs modified |
9/18/2016 9:59:46 AM It's not a matter of paying 30 bucks a month, it's just I never looked into SS before and do not want to drop 360 a year on something I do not understand yet. And I see there are still some issues with using ETFs via the Vix. Also, I'm not comfortable with options. This is why my question remains, since I'm just The village idiot, can you run SS, to find systems that are as successful utilizing Spx, Russell, Tvix, etc. Are these systems tailored only to Vix? |
| Kevin_in_GA 4,599 posts msg #131255 - Ignore Kevin_in_GA |
9/18/2016 11:34:02 AM SS can do what I did for the ^VIX here on any stock, sector, or index. |
| Kevin_in_GA 4,599 posts msg #131293 - Ignore Kevin_in_GA modified |
9/19/2016 10:26:23 AM Paper trading VIX Oct 19 2016 futures - long at 17.00 (this is to replicate the VIX BUY signal from last Friday). I also took a position in VXX at $37.00 ( with real money) as well so we can see how these compare over the course of the next few trades. |
| c1916 77 posts msg #131300 - Ignore c1916 modified |
9/19/2016 12:48:43 PM If I understand GMG's theory, on a "Long" signal as was triggered over the weekend for this morning, the better way to play this is to buy a VXX Call, so I'm going to try trading today's signal on paper in that way: Buy 9/23 $37.50 Call and, Sell 9/23 $41.00 Call for risk reversal. Earlier this morning this trade cost me 99 cents. (note: I missed the open when this probably would have been $0.90, but mid-morning would have been ideal as this trade bottomed out at $0.67) Since Kevin has a 10 day max holding period, it probably would have been more correct to play this with a 9/30 target, but the signals have been coming fast on this system, so this was a personal preference call. Not sure why Kevin went with an October target on his paper trade. Conversely, if this had been a "Short" signal, do I understand that the play would have been to sell an in the money call while buying an at the money call for risk reversal purposes? For example, if today's signal had been to short Vix, the play might have been to: Sell 9/23 $35.00 VXX Call and Buy 9/23 $38.00 VXX Call? Collecting about $1.75 premium while waiting for the move down? |
| Kevin_in_GA 4,599 posts msg #131301 - Ignore Kevin_in_GA |
9/19/2016 1:10:08 PM Not sure why Kevin went with an October target on his paper trade. +++++++++ The only futures available to trade were the Sep 21 or the Oct 19, so the one expiring on Wednesday was not really a good choice. These are futures not options. Besides, the ^VIX is built off of the futures so this should be a good surrogate for the index - not sure if options really are even though they might be a good way to trade the signals. |
| shillllihs 6,097 posts msg #131303 - Ignore shillllihs |
9/19/2016 1:19:21 PM you could short Tvix or Xiv to take advantage of decay. A few days play should be safe. |
| StockFetcher Forums · Filter Exchange · A NEW ^VIX TRADING SYSTEM | << 1 ... 4 5 6 7 8 ... 49 >>Post Follow-up |
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