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  • #12,621
  • Apr 5, 2016 11:13pm Apr 5, 2016 11:13pm
pretty good volume in the Apr4 VIX put spreads today
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"If The Fool persists in his Folly he will become wise." - William Blake
  • #12,622
  • Apr 5, 2016 11:18pm Apr 5, 2016 11:18pm
if you have access to daily time/sales data, you can follow along with ALL the trades - from the 13,000 lot badboys to the onesies.....most large VIX options trades are spreads....
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"If The Fool persists in his Folly he will become wise." - William Blake
  • #12,623
  • Apr 5, 2016 11:42pm Apr 5, 2016 11:42pm
backtesting:risk 500
selling calls to collect 500 or risk 500 buying puts when you have a sell signal.
this show that i could make more money just buying puts,instead of selling calls.
over 200% return per contract long puts.
in @1.40 out @5.00


02/11/16
buy out of the money put
23 strike price 500max loss
buy 3 contracts to open for USD$420.00
03/24/16
sell 3 contracts to close for USD$1500.00
over 200% return per contract long puts.
in @1.40 out @5.00
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he, alone, was to blame for his losses in the zero-sum game
  • #12,624
  • Apr 6, 2016 12:53am Apr 6, 2016 12:53am
Quoting comoestas
backtesting:
well, getting short big vol spikes is a great strategy, regardless of how you do it - it's just been hard to find them for these last years is all. Things have been better lately, though.....I am still looking for a June Brexit/FOMC spike.....
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"If The Fool persists in his Folly he will become wise." - William Blake
  • #12,625
  • Apr 6, 2016 12:59am Apr 6, 2016 12:59am
Quoting The Fool
pretty good volume in the Apr4 VIX put spreads today
loading the Apr4 VIX $14/$13 put vert shown above for 10c, will take it for 15c....
"If The Fool persists in his Folly he will become wise." - William Blake
  • #12,626
  • Apr 6, 2016 2:45am Apr 6, 2016 2:45am
Quoting The Fool
loading the Apr4 VIX $14/$13 put vert shown above for 10c, will take it for 15c....
VIX options trading opens ext hrs at 0200 Chicago time, midnight my time....I'm trying to fill that put vert at 10c & it's right on it, will bump up by pennies...
"If The Fool persists in his Folly he will become wise." - William Blake
  • #12,627
  • Apr 6, 2016 4:42am Apr 6, 2016 4:42am
Quoting The Fool
{quote}well, getting short big vol spikes is a great strategy, regardless of how you do it - it's just been hard to find them for these last years is all. Things have been better lately, though.....I am still looking for a June Brexit/FOMC spike..... {image}
Amigo,then now i learned, that the best way to make millions, is to wait for a vol spike and go short.
for how long have you been trading VIX?
2015 had a good spike . if you had buy 5k worth of put, i think you would made a lot of money in 2015.
so if after any spike the price will fall. why to limit your profits,using vert spread, instead of loading in a lot of out of the money puts, since the move will be down.
there will be an strong directional movement of the VIX after most spike right?
see the spike in last year.and in 2008
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he, alone, was to blame for his losses in the zero-sum game
  • #12,628
  • Apr 6, 2016 5:05am Apr 6, 2016 5:05am
Quoting comoestas
{quote} so if after any spike the price will fall. why to limit your profits,using vert spread, instead of loading in a lot of out of the money puts, since the move will be down. there will be an strong directional movement of the VIX after most spike right?
if you are shorting vix options you have to be careful - the iv will be crashing as the underlying units fall, and options values will decrease accordingly. So if you are buying otm puts at (what you think is) the top of a spike, you pay a premium for them, and as the vix falls, iv falls, and the options lose value. So, not a problem to buy otm puts, so long as your puts go in the money... Regarding spreads: if you spend $1k on long puts for $1.00 each, that's fine if those puts go deep in the money; I can get closer to itm and buy put spreads (say a $1 spread, like what I am trying to fill just above) for $0.10.....the same $1k will buy me 10x as many puts. It is true, the spread limits my profit to $1 (less the debit+comms) but the fact that I am in 10x as many actually means my gross profit of my spreads could be much greater than your long puts - it just depends on how deep the vix and the related shares drop. This can be worked out mathematically, but you have to make assumptions about how the iv will fall and it is a little complicated. However, in every case there is a break even between a given spread and straight long puts or calls - in the end, for an equal value invested, spreads will work out better if there is less of a move and long puts will be better if the move is deep.
"If The Fool persists in his Folly he will become wise." - William Blake
  • #12,629
  • Apr 6, 2016 5:14am Apr 6, 2016 5:14am
I had the question below sent to me in an email - the answer is you usually need to have $2,500 minimum in an options trading account to trade strategies that require margin.

---------------------------------
hey,
As a practincioner could you Please write what's the minimum cash required for options trading so that one can use more complex strategies to really take advantage of options as a product

I am aware that this is very general question, would appreciate an answer

Thanks
"If The Fool persists in his Folly he will become wise." - William Blake
  • #12,630
  • Apr 6, 2016 5:28am Apr 6, 2016 5:28am
Quoting comoestas
{quote} Amigo,then now i learned, that the best way to make millions, is to wait for a vol spike and go short. for how long have you been trading VIX? 2015 had a good spike
I have been trading VIX, UVXY, SVXY, and VXX regularly for about the last year or so, but in the last 6 months I have come to trade these VIX products all the time. That big spike that came in August 2015 was related to the PBOC devaluing the yuan and that was a sneaky, surprise, sumbitch. I didn't really make any money off of that. Water under the bridge. Now I am trying to anticipate events that will induce elevated volatility - as I mentioned ad nauseum above, eyes on the Brexit referendum.....
"If The Fool persists in his Folly he will become wise." - William Blake
  • #12,631
  • Apr 6, 2016 9:10am Apr 6, 2016 9:10am
Quoting The Fool
{quote}DO you have an account somewhere that you can do options trading? With real and imaginary money?
no.ı dont have account for options.I think interactive brokers is good for option?
  • #12,632
  • Apr 6, 2016 10:03am Apr 6, 2016 10:03am
Quoting The Fool
{quote} I have been trading VIX, UVXY, SVXY, and VXX regularly for about the last year or so, but in the last 6 months I have come to trade these VIX products all the time. That big spike that came in August 2015 was related to the PBOC devaluing the yuan and that was a sneaky, surprise, sumbitch. I didn't really make any money off of that. Water under the bridge. Now I am trying to anticipate events that will induce elevated volatility - as I mentioned ad nauseum above, eyes on the Brexit referendum.....
How are you trying to anticipate?
i mean how do you base your anticipation?
he, alone, was to blame for his losses in the zero-sum game
  • #12,633
  • Apr 6, 2016 10:51am Apr 6, 2016 10:51am
Quoting comoestas
How are you trying to anticipate? i mean how do you base your anticipation?
You need to understand that options valuations are based on their implied volatilities. You can chart iv and iv rank and see how they change over time. Generally, iv will rise as the underlying share or futures value falls. But that is not always true. IV will rise as some future volatility-inducing event draws closer in time. A very typical event for the shares is the release of the earnings report (ER). Will the company beat the projected earnings, or not? Nobody knows. OMG are they going broke? Will they be bankrupt soon!!?? Am I going to lose all the money I invested in that company???!!!! Well, this is why you see iv rise before the ER's. If you look at a weekly chart of many company's shares, you will see that much of the trading volume is found in the week of the ER, that the big share price moves happen on the day or so of the ER. After the ER, the iv of the options crashes, especially of the near-term options. There are specific trading strategies that are focused on this change in iv around these scheduled ER dates. There are other scheduled events that affect options iv, will say more below.
"If The Fool persists in his Folly he will become wise." - William Blake
  • #12,634
  • Apr 6, 2016 11:00am Apr 6, 2016 11:00am
Quoting The Fool
{quote}You need to understand that options valuations are based on their implied volatilities. You can chart iv and iv rank and see how they change over time. Generally, iv will rise as the underlying share or futures value falls. But that is not always true. IV will rise as some future volatility-inducing event draws closer in time. A very typical event for the shares is the release of the earnings report (ER). Will the company beat the projected earnings, or not? Nobody knows. OMG are they going broke? Will they be bankrupt soon!!?? Am I going...
Tiguere de que pais tu eres?
do you have especif rules ?

iv is a great tool to understand. in the past my option made no money ,even when the price of the stock,went my way. the reason was the price of the option was affected by IV before the ER as you said.
he, alone, was to blame for his losses in the zero-sum game
  • #12,635
  • Apr 6, 2016 12:10pm Apr 6, 2016 12:10pm
Quoting comoestas
{quote} Tiguere de que pais tu eres? do you have especif rules ? iv is a great tool to understand. in the past my option made no money ,even when the price of the stock,went my way. the reason was the price of the option was affected by IV before the ER as you said.
exactly...iv changes everything and an options trader has to understand it. So how to anticipate volatility? Just experience: if there is a big event like an election or a Central Bank rate setting meeting, etc - those events can have huge implications for the markets and even for the economic futures of whole nations, so of course they will be marked by increases in related options iv's. An options trader's job is all about finding options price anomalies and exploiting them: when the iv is high and options prices are high - you sell them; when options iv is low and options prices are low, you buy them - that is a very simplistic summary.
"If The Fool persists in his Folly he will become wise." - William Blake
  • #12,636
  • Apr 6, 2016 12:21pm Apr 6, 2016 12:21pm
Quoting The Fool
Now I am trying to anticipate events that will induce elevated volatility - as I mentioned ad nauseum above, eyes on the Brexit referendum.....
I'd say this is most of what I do: looking for probable volatility-inducing events and trading around them. I mention my rationale in these types of trades all the time, maybe I will try to spell it out a little clearer.
"If The Fool persists in his Folly he will become wise." - William Blake
  • #12,637
  • Apr 6, 2016 12:23pm Apr 6, 2016 12:23pm
Quoting Cecil Gee
{quote} closed half of FXY contracts at $86.20, bought at 80.44 0n $81 calls and it was a strangle the put side closed a couple days back maintaining for the 90 level by that time U/Y should be just below 1.07-1.05 will assess again from there
heading towards 90 may even get to 92 will close around then, got until JUNE EXP
  • #12,638
  • Apr 6, 2016 12:25pm Apr 6, 2016 12:25pm
Quoting comoestas
Tiguere de que pais tu eres? do you have especif rules ?
naci aqui en los EE.UU. I am not trading so much by hard/fast rules.
"If The Fool persists in his Folly he will become wise." - William Blake
  • #12,639
  • Apr 6, 2016 12:43pm Apr 6, 2016 12:43pm
Quoting vasily
no.ı dont have account for options.I think interactive brokers is good for option?
yes.
"If The Fool persists in his Folly he will become wise." - William Blake
  • #12,640
  • Apr 6, 2016 12:45pm Apr 6, 2016 12:45pm
Quoting The Fool
loading the Apr4 VIX $14/$13 put vert shown above for 10c, will take it for 15c....
filled this spread for 10c, looking for ^VIX to dip into $13.xx this week, looking for a net 4-bagger, might take net 3x
"If The Fool persists in his Folly he will become wise." - William Blake
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