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Trading volatility

Holy ****, XIV halted (label says “volatility halt”). LOL, I broke it! There’s not even a number on my VIX readout, froze at 28, did VIX blow up??

Mispricings everywhere, PFF tanked 15% and was halted. CNY tanked 24%. Too awesome…

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unreal profit you must have just made in a few hours. Now comes the time for the authorities and assure the markets everything is ok. 

What is everyone doing during this volatile times?

RBI’s governor says central banks need to refrain from giving the markets “booster shots”

Abe says it’s becoming increasingly difficult to achieve our inflation targets (i.e. after 2nd QE)

FTSE, Eurostoxx, DAX, CAC vols are at levels that I’ve never seen in my career. Gosh I envy my seniors who traded during 2007/08 crisis 

What a day - I’ll never forget this.

I don’t think Yellen will raise rates, but she’ll refrain from providing any booster shots that Rajan spoke of earlier today - which could, just could, lead to another round of selling. Though I hope not.

whatsyourgovt wrote:

What is everyone doing during this volatile times?

Options - no futures, etfs, etc. Just options. 

Anyone here who was there at European open and saw that offer in front month dax puts? 

purealpha wrote:

There’s not even a number on my VIX readout, froze at 28, did VIX blow up??

Yeah, it looks like VIX blew up at the open, peak was 53 once they were able to calc it…

“For a brief period this morning, anxiety got too high to measure in the U.S. options market.”

http://www.bloomberg.com/news/articles/2015-08-24/vix-didn-t-update-for-...

hey stop rounding down. 53.29 (thats pretty close to 60 hehe).

So you shorted VXX at 19.5 based on your prior comments.

You do realize that the roll yield will work AGAINST you for extended periods of time with an elevated VIX and a downward sloping VIX futures curve, right?

PistolPt wrote:

So you shorted VXX at 19.5 based on your prior comments.

purealpha wrote:

Just shorted VXX when VIX hit 26. I’ll double down on that if it goes in 30s…

Dude, do you have some sort of reading comprehension problem? Over the year I have shorted many different VIX spikes and taken the profits when volatiltity died down (4 for 4 winners, the Greece one being massive). For this new event, which was are discussing now dude, I started building a position at VIX=26, and then it opened at VIX=53 the next day, so those were my trades (mostly long XIV and some short VXX). Now I am holding patiently.

PistolPt wrote:

You do realize that the roll yield will work AGAINST you for extended periods of time with an elevated VIX and a downward sloping VIX futures curve, right?

This is been said a million times already, we all understand contango/backwardation. How about READING THE THREAD before posting?

purealpha wrote:

Dude, do you have some sort of reading comprehension problem? Over the year I have shorted many different VIX spikes and taken the profits when volatiltity died down (4 for 4 winners, the Greece one being massive). For this new event, which was are discussing now dude, I started building a position at VIX=26, and then it opened at VIX=53 the next day, so those were my trades (mostly long XIV and some short VXX). Now I am holding patiently.

When the VIX hit 26, VXX was trading around 19-20.  That is a fact. I assume you realize these two are not the same thing.

I don’t have a reading comprehension problem, I have a problem with people posting their “Epic, I am a genius” trades online after the fact, with scant specifics on their position sizing, prices, etc.

PistolPt wrote:

I don’t have a reading comprehension problem, I have a problem with people posting their “Epic, I am a genius” trades online after the fact, with scant specifics on their position sizing, prices, etc.

Then you DO have a reading comprehension problem, because my trades are all over this thread (and other threads) time stamped, NOT after the fact. 

This is dull, go reread if you actually care so much what I did.

I read this thread. Never seen you lose. How convenient.

Why don’t you go over to elite trader and start a journal thread, post your gain/loss in real time so the world can bow down to your perfect trading skills.

No comment on my VXX, VIX numbers?

PistolPt wrote:

I read this thread. Never seen you lose. 

Sigh, that’s kinda the point of the thread dork.

Look at the date the thread was started. Now look at a chart of VXX for that time period.

How many losing VXX shorts have there been during this time period?

purealpha wrote:

Sigh, that’s kinda the point of the thread dork.

“dork”. haven’t heard that one in forever. love it.

Just thought I’d swing by to say I shorted VXX during Brexit @ $17.76, a day later 16.5% gain!

Still zero realized losses in what must be at least a dozen vol shorts. However I did take the mother of all drawdowns during the “OMG China” panic, just held patiently until it came back.

purealpha wrote:

Just thought I’d swing by to say I shorted VXX during Brexit @ $17.76, a day later 16.5% gain!

Still zero realized losses in what must be at least a dozen vol shorts. However I did take the mother of all drawdowns during the “OMG China” panic, just held patiently until it came back.


YES!!!
This just made my day……

"But I don't think of you"..... Howard Roark

purealpha wrote:

Just thought I’d swing by to say I shorted VXX during Brexit @ $17.76, a day later 16.5% gain!

Still zero realized losses in what must be at least a dozen vol shorts. However I did take the mother of all drawdowns during the “OMG China” panic, just held patiently until it came back.

Hey… did you get your long exposure by shorting the short fund because if you ended up being wrong, you could just wait for the ETF decay to cover your loss?

EDIT:  I forgot…. VXX is long exposure the VIX.  I see, you played the post brexit cool down.  Still, do you prefer to short ETFs anyway?

"But I don't think of you"..... Howard Roark

Yeah, shorted vol (VXX) at what felt like peak-panic (the initial panic phase at least). I’m not convinced it is over though, and if things cool down more later this week I’ll probably just close it out…so I can repeat when vol spikes again. And Trump next, more vol? But I’ve been thinking – with investors not wanting to be in Asia, and now not wanting to be in Europe, will they head to the US for “safety”?

I decided I don’t really like XIV in most scenarios (going long inverse vol). The math just isn’t cool (if it loses 50% on day one, and gains 50% on day two, you get screwed). Even though shorting VXX has in theory infinite losses, and margin interest payments, I like it. 

Just looked the July 20th Calls - very expensive premiums right now probably not worth it even if a spike to vol does occur

whatsyourgovt wrote:

Just looked the July 20th Calls - very expensive premiums right now probably not worth it even if a spike to vol does occur


I’m confused…. what do you mean? The calls on VXX? They are not at a premium to puts ( thetas are about the same). More importantly we have been talking about shares of VXX not options. Yea, so…….huh?

"But I don't think of you"..... Howard Roark

Sorry, didnt read the entire thread. I dont touch the ETFs, i was looking at actual VIX, at the time the premium was $3 above strike for ITM

.

.

Just closed out most the short, 19% gain is enough…not convinced the worst is over.

whatsyourgovt wrote:

Sorry, didnt read the entire thread. I dont touch the ETFs, i was looking at actual VIX, at the time the premium was $3 above strike for ITM

OK…. that makes sense

Ever since my VIX option trade last week, I am interested.  Do you follow VIX options enough to know that what you are observing is more than usual?  What I am observing is a mild premium of puts over calls (which makes sense…. mean reversion).  Thursday before Brexit the premium and theta for the puts was out of control compaired to calls.  Anyway…. is $3 for ITM calls expensive?

"But I don't think of you"..... Howard Roark

KMeriwetherD wrote:

whatsyourgovt wrote:

Sorry, didnt read the entire thread. I dont touch the ETFs, i was looking at actual VIX, at the time the premium was $3 above strike for ITM

OK…. that makes sense

Ever since my VIX option trade last week, I am interested.  Do you follow VIX options enough to know that what you are observing is more than usual?  What I am observing is a mild premium of puts over calls (which makes sense…. mean reversion).  Thursday before Brexit the premium and theta for the puts was out of control compaired to calls.  Anyway…. is $3 for ITM calls expensive?

Tbh, i used to follow it more closely so i cant speak to how it stands on a 6-month average but just to breakeven we are looking at a 15% return requirement, coupled with a 3 week expirary, just doesnt fit my standards for a solid speculation. 

just bought some 7/13 vix calls. Anyone taking the ride with me?

whatsyourgovt wrote:
just bought some 7/13 vix calls. Anyone taking the ride with me?

I’m in! Just sold S&P500 (ES) 2110 calls, expiring Jul29, and right before the US election Oct 31. Wacky rally, skeptical.

whatsyourgovt wrote:

just bought some 7/13 vix calls. Anyone taking the ride with me?

Interesting! Which strike did you go for? I am keen to do the same …… plain crazy that the markets are full recovered from Brexit already. Usually when buying options I want a specific catalyst because the time decay will murder you. However, looking at the option chain, the theta for ITM calls next to nothing. This might actually be a good play!…. but expiration 2 weeks away. Are you sure that is enough time? Side note….the pricing on VIX options are really strange right now. Usually if an option is more expensive you see that show up in theta. It will decay faster. However with the VIX right now calls are more expensive than puts yet the theta on the puts are way higher??? Also, the deltas are higher for the calls. Why are the calls such a good buy right now when the VIX is most likely to go up from here? Also…. Don’t forget ATM is actually around strike 16 …..not 14.5 since the options are based on futures.

"But I don't think of you"..... Howard Roark

KMeriwetherD wrote:

whatsyourgovt wrote:

just bought some 7/13 vix calls. Anyone taking the ride with me?

Interesting! Which strike did you go for? I am keen to do the same …… plain crazy that the markets are full recovered from Brexit already. Usually when buying options I want a specific catalyst because the time decay will murder you. However, looking at the option chain, the theta for ITM calls next to nothing. This might actually be a good play!…. but expiration 2 weeks away. Are you sure that is enough time? Side note….the pricing on VIX options are really strange right now. Usually if an option is more expensive you see that show up in theta. It will decay faster. However with the VIX right now calls are more expensive than puts yet the theta on the puts are way higher??? Also, the deltas are higher for the calls. Why are the calls such a good buy right now when the VIX is most likely to go up from here? Also…. Don’t forget ATM is actually around strike 16 …..not 14.5 since the options are based on futures.

Interesting findings. I went with strike of 17. 

Any reason for 17?  (that one has a theta of .04)

"But I don't think of you"..... Howard Roark