David. drill down into the VXX option chain. You will find the largest open interest by far on the JAN 19 PUT 10 strike, followed by the 15. Open interest on the 10 has continued to build over the past month, although that may just be due to rubbernecking by the likes of me.

Yeah my position is down due to this vol spike, but I have a year for…[Read more]

My rules do not allow me to sell naked options in vol product, nor calendar spreads.

I also gave up on selling UVXY call spreads and all indeed all call spreads in vol products, unless it is a clearcut case of vol crush after a binary event such as Brexit.

Instead I buy puts and put spreads.

One of the things I have learned from Seth is…[Read more]

My hedge is up a tiny big of money at this moment. I will see if I can roll out to JUN tomorrow and keep some money on the table.

SOLD /VXV8 @16.35
Sold a little VXX at 30.44

Market is headed back up. All those FOMO money managers waiting to BTFD on the sidelines are going to pile in now and drive it to a “permanently high plateau.”

We tend to have a lot of faith, almost religious belief, in any kind of statistics, regardless of the quality of the data upon which they are based or the methodology employed. To say nothing of how they are framed.

Bad news for my VIX backspreads, good news for my VXX puts.

I closed my core position and strategy around Xmas and have not had a chance to put it back on. If I had, I would be down money.

In a smaller account I put on the APR UVXY 12 7 put spread for 3.15. Tomorrow I will get some VXX.

VIX will be back in the 10 handle by the end of this week.

Here is another formula for tail risk hedging I got from a PM friend who works in a bank, zero premium hedge:

“an interesting / useful / cheap tail hedge, when vol and preferably skew are low, is the ratio put back spread on indices. Sell two atm puts to pay for one otm put. Zero premium net. Do in 6 mths term and unwind at 3mths before theta…[Read more]

My black swan hedge is the VIX back spreads. I have some 10 15s and 10 16s in May. The latter are up a little money, or were. I will seek to roll them out to JUN this week if I can do it for zero premium. Trying to keep them five or six months out. VVIX too high for this trade. I should be doing butterflies instead.

Alternatively there is the…[Read more]

The VIX term structure always flattens out before a big event.

Sometimes there is a spike (but not a crash) that happens in the middle of full-on contango.

Such as Sept. 8, 2016.

Those happen only one out of ten times.

Thanks so much!

It’s been fantastic trading pre-earnings thus far. Mostly 40dCalls

For next week MSFT, AMZN, MA, GOOGL, FB, BA, QCOM, EA, UPS, all good thus far. AAPL, GLW and GPRO have not come in.

These above are the best trades on the board.

MSFT now on forth reload.

MR Softy

I guess I am just too stupid to figure out how to post a clickabe link or image on this board

I look at VVIX.

Back down under 100 now. Come on down!

I think some people do use VWAP. Just as people use technical analysis on VIX.

But I suspect Richard is right.

I am gearing up to start doing some scalping this year using Tradestation.

My starting point will be to use VWAP.

I am not a VWAP expert by any means and have been gathering resources to study. Also looking into hiring a coach to get me started right.

My VIX 10 15 May backspreads are above water today. I wonder if I could roll them out to July for a credit.