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  • #12,701
  • Apr 15, 2016 7:31pm Apr 15, 2016 7:31pm
Quoting The Fool
{ I am looking at putting maybe $25k at risk on long vol trades, with potential to make $250k-$500k.....
the Jun/July VXX $30 call calendar could make >10x no prob, has a huge profit range in rising iv - a b/e around $20 +/-....if the SnP keeps grinding up towards 2,100 or higher, you will fill this trade for 20c maybe less
Attached Image (click to enlarge)
Click to Enlarge Name: 2016-04-15_1725vxx.png Size: 69 KB
"If The Fool persists in his Folly he will become wise." - William Blake
  • #12,702
  • Apr 15, 2016 8:03pm Apr 15, 2016 8:03pm
the Aug '15 ^vix shitstorm reset the charts, SVXY looks like it will get capped at $60 maybe $65 at most for the year, but it could make new lows in a new spike
Attached Image(s) (click to enlarge)
Click to Enlarge Name: 2016-04-15_1757svxy1.png Size: 108 KB
Click to Enlarge Name: 2016-04-15_1758svxy2.png Size: 70 KB
"If The Fool persists in his Folly he will become wise." - William Blake
  • #12,703
  • Edited Apr 16, 2016 8:42pm Apr 15, 2016 11:31pm | Edited Apr 16, 2016 8:42pm
to break, or not to break.....a butterfly? I bot the Jun UVXY Jun call $36/45/54 fly for 58c about a month ago. It's worth about 20c now. Maybe I should break it? I could sell the $54 calls and buy the $36 (prolly the $35) calls for about $1.00 net debit. Instead of being 58c in the hole, I would be like $1.50 in the hole. However, the maxP for the trade goes from about $5k (fly) to $8.5k (vert) and there's no downside for the vert beyond its b/e. More money at risk, but trading the fotm $56 calls for $35 calls is a good idea..an additional $1k risk gives back an added $3.5k return, and eliminates the outside P/L detriment of the fly - something that drags on the other UVXY verts I have........the longer I wait, the less the $56 calls will bring....
Attached Image(s) (click to enlarge)
Click to Enlarge Name: 2016-04-15_2110uvxy1.png Size: 73 KB
Click to Enlarge Name: 2016-04-15_2115uvxy2.png Size: 68 KB
"If The Fool persists in his Folly he will become wise." - William Blake
  • #12,704
  • Apr 17, 2016 10:11pm Apr 17, 2016 10:11pm
Dilma out. Watch PBR...if it dips with oil it will be a buying opp.
https://www.yahoo.com/news/brazils-r...ss.html?ref=gs
"If The Fool persists in his Folly he will become wise." - William Blake
  • #12,705
  • Apr 18, 2016 2:50pm Apr 18, 2016 2:50pm
I was faked out by oil's bs this weekend, cost me one trade - the Apr4 VIX $14/13 bear puts was looking bad Sunday night so I put a 15c gtc on it, it is worth about 3x that now.....I took the 15c that I left waiting to fill...a net +5c trade, not a good start to the week.
"If The Fool persists in his Folly he will become wise." - William Blake
  • #12,706
  • Apr 18, 2016 3:06pm Apr 18, 2016 3:06pm
Quoting The Fool
to break, or not to break.....a butterfly?
broke the fly pretty much as outlined above, except went long Jun $34 calls and sold the Jun $54 calls, left me with approx. a Jun $35/$46 bull call vert for a buck and change......looking now to sit on hands re: long vol trades and see where the equity rally runs
"If The Fool persists in his Folly he will become wise." - William Blake
  • #12,707
  • Apr 18, 2016 6:42pm Apr 18, 2016 6:42pm
Quoting The Fool
Dilma out. Watch PBR...if it dips with oil it will be a buying opp. https://www.yahoo.com/news/brazils-r...ss.html?ref=gs
Out of a couple of EWZ short strangles in okay profit on the dip ... . Will have to gander at PBR ... .
Fireworks are fun ... as long as you don't blow your fingers off.
  • #12,708
  • Apr 18, 2016 6:45pm Apr 18, 2016 6:45pm
Quoting The Fool
I was faked out by oil's bs this weekend, cost me one trade - the Apr4 VIX $14/13 bear puts was looking bad Sunday night so I put a 15c gtc on it, it is worth about 3x that now.....I took the 15c that I left waiting to fill...a net +5c trade, not a good start to the week.
I was somewhat excited about the prospects for a "modest" VIX pop at Monday open and then some broad market caveage thereafter ... . No such luck. But, got some other long VXX on in the dip ... . I'll have to look at UVXY or SVXY now; got VXX setups crawling over the top of one another here ... .
Fireworks are fun ... as long as you don't blow your fingers off.
  • #12,709
  • Apr 18, 2016 8:26pm Apr 18, 2016 8:26pm
Quoting ZebraSquirl
I was somewhat excited about the prospects for a "modest" VIX pop at Monday open and then some broad market caveage thereafter ... . No such luck. But, got some other long VXX on in the dip ... . I'll have to look at UVXY or SVXY now; got VXX setups crawling over the top of one another here ... .
I have beaucoup long vol trades set up....lookin for further dippage b4 I load any more.....the SVXY fly below I have ~20 lots, let the spoos grind up and vol bleed out, I will make some money on the fly, looking for net $2.50 out, or better....most long vol stuff is Jun and I have been plinking some Sept verts.....
Attached Image (click to enlarge)
Click to Enlarge Name: 2016-04-18_1821SVXY.png Size: 71 KB
"If The Fool persists in his Folly he will become wise." - William Blake
  • #12,710
  • Apr 18, 2016 9:51pm Apr 18, 2016 9:51pm
Quoting The Fool
I have beaucoup long vol trades set up...
UVXY to $15.xx - I dare not touch it anymore lest they R/S it...
"If The Fool persists in his Folly he will become wise." - William Blake
  • #12,711
  • Apr 18, 2016 9:57pm Apr 18, 2016 9:57pm
Quoting The Fool
the Jun/July VXX $30 call calendar could make >10x no prob, has a huge profit range in rising iv - a b/e around $20 +/-....if the SnP keeps grinding up towards 2,100 or higher, you will fill this trade for 20c maybe less
safer bet VXX - this calendar down to 18c today......patience
"If The Fool persists in his Folly he will become wise." - William Blake
  • #12,712
  • Apr 18, 2016 10:00pm Apr 18, 2016 10:00pm
Quoting The Fool
{quote}I have beaucoup long vol trades set up....lookin for further dippage b4 I load any more.....the SVXY fly below I have ~20 lots, let the spoos grind up and vol bleed out, I will make some money on the fly, looking for net $2.50 out, or better....most long vol stuff is Jun and I have been plinking some Sept verts..... {image}
Pretty darn low here ... . But 2015 low was VIX south of 11, so further dippage not out of the question ... .
Fireworks are fun ... as long as you don't blow your fingers off.
  • #12,713
  • Edited 10:40pm Apr 18, 2016 10:12pm | Edited 10:40pm
Quoting The Fool
safer bet VXX - this calendar down to 18c today......patience
I like the Jun/Jul calendar cuz it could set you up in some long calls for a post Brexit meltdown....but there are some good deals on wide VXX call flys too
Attached Image (click to enlarge)
Click to Enlarge Name: 2016-04-18_2009vxx.png Size: 63 KB
"If The Fool persists in his Folly he will become wise." - William Blake
  • #12,714
  • Apr 19, 2016 12:50pm Apr 19, 2016 12:50pm
[quote=Cecil Gee;8849047]{quote} I'm holding on until 12.50 is hit or if I get a whole $ giving me a x20 return, then I'll wait for the big one on the VIX once it all aligns with the S/P it isn't that far away[/quote]


closed earlier at 55c, not the 20x i was looking for but got 11x on risk outlay

I:VIX Apr 2016 14.000 put (VIX160420P00014000)
-OPR
0.55 https://s.yimg.com/lq/i/us/fi/03rd/up_g.gif 0.05(10.00%) 18:29
  • #12,715
  • Apr 19, 2016 5:34pm Apr 19, 2016 5:34pm
been breaking Jun UVXY call flys while options are cheap, as noted above, which leaves me with a mishmash of call verts to Jun and Sept....the wide flys get converted to wide verts and the tail drag on the fly outside wing gets removed

I might add something for Sept, but as also noted above, I am worried about a R/S for UVXY if it keeps dropping....they have done them around $15 before. Anyway, another hot vol spike will more than triple this little IRA account, on the vix derivatives alone....
Attached Image (click to enlarge)
Click to Enlarge Name: 2016-04-19_1524444.png Size: 92 KB
"If The Fool persists in his Folly he will become wise." - William Blake
  • #12,716
  • Apr 19, 2016 5:42pm Apr 19, 2016 5:42pm
Quoting Cecil Gee
closed earlier at 55c, not the 20x i was looking for but got 11x on risk outlay
good trade Cecil, way to be patient - this one I think I recall feeling OK about a 2 or 3x net out...
"If The Fool persists in his Folly he will become wise." - William Blake
  • #12,717
  • Apr 19, 2016 7:02pm Apr 19, 2016 7:02pm
Quoting Cecil Gee
{quote} I'm holding on until 12.50 is hit or if I get a whole $ giving me a x20 return, then I'll wait for the big one on the VIX once it all aligns with the S/P it isn't that far away closed earlier at 55c, not the 20x i was looking for but got 11x on risk outlay I:VIX Apr 2016 14.000 put (VIX160420P00014000) -OPR 0.55 {image} 0.05(10.00%) 18:29
Awesome trade ... .

Looking like long vol is currently the only game in town. Passed on what ordinarily are good earnings plays this week because not only did volatility get sucked out of the broader market, it got sucked out of individual underlyings, too ... .
Fireworks are fun ... as long as you don't blow your fingers off.
  • #12,718
  • Apr 19, 2016 7:24pm Apr 19, 2016 7:24pm
Quoting The Fool
{quote}I like the Jun/Jul calendar cuz it could set you up in some long calls for a post Brexit meltdown....but there are some good deals on wide VXX call flys too {image}
Looking at flies in VXX. I haven't done many of these, so I'm trying to visualize how to manage it intratrade.

As price moves up (I'm just guessing that the price will go up at some point from here), the value of the debit spread portion of the setup increases, so I imagine that you'd want to take that off first in a substantial upmove, leaving the uber wide short call credit spread side of the setup to (hopefully) be on the elevator for the ride down in short order (or no?).
Fireworks are fun ... as long as you don't blow your fingers off.
  • #12,719
  • Apr 19, 2016 9:53pm Apr 19, 2016 9:53pm
http://screencast.com/t/NufiIHjjIy

The screencast runs thru the day to day P/L for a VXX Jun $24/30/36 call fly (4/20 to 6/19). If you didn't already know, what the vid shows is what is true for the time spreads (flys and calendars): the best profit potential is waiting for you at the end of the rainbow - you have to ride them to the last day or so to hit the maxP jackpot. That is assuming you are within a buck of the midpoint - $30. As the vid also shows, the b/e points come in while the maxP level ascends. So, time is your friend an your foe, as well. Very important to know how the P/L changes over time in order to best manage the trade.

So, I am not an expert at adjusting flys. Th only thing I have done is what I have shown above in cases where the u/l price has moved against my call fly (i.e., down). In that case on UVXY flys, I have just broken the fly by selling the far wing calls and adding an equal number to the near wing calls strike (the actual strike or lower). This eats some more debit but you end up with a wide bull call vert, which is simpler to trade and has a better maxP and P/L structure.

I may have more to add later...
"If The Fool persists in his Folly he will become wise." - William Blake
  • #12,720
  • Apr 19, 2016 10:11pm Apr 19, 2016 10:11pm
...just a word on the screencast above: all I have done is click thru the days from 4/20 to 6/19. Of course iv is changing day to day, but the resultant screencast does not show that, because I have not stopped to change the iv for each day. And I could do the latter, but only as a plus or minus percentage multiplier. For the fly, the rising iv you would have if the VXX share price were rising towards $30 would lower the maxP somewhat and push out the b/e points. For a calendar, rising iv has the opposite effect.
"If The Fool persists in his Folly he will become wise." - William Blake
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