mahkoh
1,065 posts
msg #131032
- Ignore mahkoh |
9/9/2016 6:28:39 PM
Thanks, gmg. Probably the greeks are involved, but I'm sure I was overlooking the elephant in the room: The insane premium involved with these options. 70 % extrinsic value for an option that is 15 % in the money..
Compare this to for example CVX, at $101. The 15 % in the money Oct 85 strike calls trade for $ 17.00, resulting in 5 % extrinsic value.
Kevin, you could use the symbol function to generate signals from ^VIX and run the multisystem against a sector that is made up of XIV and VXX to see how that compares to the original?
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shillllihs
6,047 posts
msg #131034
- Ignore shillllihs |
9/9/2016 6:39:05 PM
Or just create a system based on Xiv/Tvix all my plays are based off of using Tvix as a model.
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compound_gains
222 posts
msg #131036
- Ignore compound_gains |
9/9/2016 8:12:32 PM
Churn is the curse of options, as it has been for the past 40 odd days with SPY and VIX.
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Kevin_in_GA
4,599 posts
msg #131038
- Ignore Kevin_in_GA |
9/9/2016 9:11:59 PM
SIGNAL UPDATES FOR MONDAY (9/12/16) AT THE OPEN:
A NEW SHORT SELL SIGNAL has been triggered from VIX SHORT FILTER #4
THE 2 LONG POSITIONS FROM VIX LONG SIGNAL #1 and VIX LONG SIGNAL #2 ARE TO BE SOLD AT THE OPEN ON MONDAY (up 40.9% and 39.78% respectively).
These are the first signals to be closed - I will track the performance of all trades (open and closed) as we move forward to keep things honest. Just the usual reminder that these signals and results are for the ^VIX - you need to trade this based on what is most comfortable for you (VXX/XIV, options, futures).
THE CURRENT SHORT POSITION ENTERED ON 9/9/16 FROM VIX SHORT FILTER #2 CONTINUES TO BE HELD (down 39.78%)
That means on Monday all open positions will be shorting the ^VIX.
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mahkoh
1,065 posts
msg #131053
- Ignore mahkoh |
9/10/2016 4:27:30 AM
Many times in the past VIX spikes were capped halfway between the recent high and low. If this is to happen again this one should top out around 19.
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pthomas215
1,251 posts
msg #131070
- Ignore pthomas215 |
9/11/2016 12:23:17 PM
From a Money Morning article today....
""Whether Friday's sell-off is the end of the unprecedented period of low volatility they we saw this summer remains to be seen.The VIX popped five points (40%) yesterday to 17.50 but is still below its long-term average of 19 or so.""
Manoh, it appears you are correct on that 19 number for the VIX.
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gmg733
788 posts
msg #131075
- Ignore gmg733 |
9/11/2016 2:23:06 PM
Learned an interesting fact about presidential (and this year I use that term loosely) is in the past 17 elections the market has been down a minimum of 5% prior to November and on average 11%. I don't know if the 11% took into account the 2008 outlier move or not. Nonetheless, always good to try and maintain a little short delta. Most of these moves last 5-7 weeks.
I hope vix does not go back to the teens. What a lot of folks don't realize is no one really makes money when vol is so low. When we have healthy vol everyone long or short and make some bucks.
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shillllihs
6,047 posts
msg #131113
- Ignore shillllihs |
9/12/2016 2:11:00 PM
Good system. Did you pull the trigger?
What are the current signals?
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Kevin_in_GA
4,599 posts
msg #131126
- Ignore Kevin_in_GA |
9/12/2016 8:59:22 PM
SIGNAL UPDATES FOR TUESDAY (9/13/16) AT THE OPEN:
1. A NEW LONG BUY SIGNAL has been triggered from VIX LONG FILTER #9
2. THE 2 OPEN LONG POSITIONS WERE SOLD AT THE OPEN ON MONDAY (CLOSING up 61.66% and 60.37% respectively). If you were trading VXX your gain would have been 13.98% and 12.77% - not too shabby.
3. THE THREE CURRENT SHORT POSITIONS (ONE ENTERED ON 9/9/16 AND TWO ENTERED ON 9/12/16) CONTINUE TO BE HELD (the first down 21.09% but the other two up 24.69%).
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shillllihs
6,047 posts
msg #131127
- Ignore shillllihs |
9/12/2016 9:54:00 PM
A couple questions, you have a max hold time of 10 days regardless if exit has triggered or not?
What does it mean when there is a a 2 in the exit column. Any relavence?
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