Notes: A VIX term structure trade with a break even at or above where the corresponding /VX future is trading. Designed to emulate what a correspondent front month futures contract in /VX does as it converges on spot, the short call vertical has a 16.60 break even versus the October /VX contract at 16.55.
Will look to take profit at 50% max.
İşlem aktif
⋅
Rolling up the 18 long call to the 19 for a realized gain and a .28/contract credit. Scratch at .88/contract with a break even at 16.88.
İşlem aktif
⋅
Rolling up the 19 long call to the 20 for a realized gain and a .35/contract credit. Scratch at 1.23 with a break even at 17.23. Essentially playing the elevator up/down game with a spread, rolling up the long aspect in profit and waiting for mean reversion ... .
İşlem aktif
⋅
Rolling the 16/20 for a small realized gain to the November cycle for a .30/contract credit; scratch at 1.53, BE at 17.53.
İşlem aktif
⋅
I can't help myself ... . Rolling from November to December for a realized gain and a .40/contract credit. Scratch at 1.93, BE at 17.93.
Beautiful!There has got to be some easy way to lose in there (I am good at that :-) ); I am thinking my impatience would be a huge contributor to that. Thinking extrinsic remaining in the short for roll-out as well as not getting too far ahead of the decay range on that and the long roll-up seeing nice profit with price/IV increase. Do you use any more specific triggers to keep the rhyme/reason in these? Seems like patience is much less of an issue the more detailed plan I use before opening a position; how does that go?? Oh yeah, the shortest pencil is better than the longest memory. :-) or there is nothing like "I wrote it down!" .
NaughtyPines
⋅
@Tom1trader, I generally look at /VX term structure, since the VIX options set up around where the corresponding futures contract is trading. If the corresponding /VX contract is trading at <16, I don't put something on in that expiry and generally don't like to go out >90 DTE. The basic setup is to structure the spread so that the break even is around where the corresponding /VX contract is trading. On occasion, there is some rolling and/or widening of the spread to get a credit on roll. It's one of the few plays where I'll widen to get a credit because it's mean reverting, but you can get into some lengthy rough patches where VIX pops and stays up for longer than you'd like.