Thanks for the insight Seth and Alex. Much appreciated.

Also with regards to it ignoring the S&P500 price action as of late, that is well within the nature of volatility. Russel Rhoads had a recent blog post about times when we have seen VIX and SPX advance higher together throughout history. Unfortunately, no strong predictive correlations were to be found and we have to remember that in fact over…[Read more]

Speaking of VX futures and our current correlation that is not behooving us, I have covered my small but backwards (-17%) position in UVXY while maintaining core of TVIX and some nice executions in VXX in the interest of capital preservation. Tell me if anyone thinks this makes sense:

VX futures are based upon SPX puts in the various index…[Read more]

I agree with David. Sometimes the simplest reason IS the reason. Added to my short VXX core at 27.70 and 28.15.

@ereitzel Interesting that they charge the fee for one underlying but not another. As someone who trades with IB, my theory is that it does well because they charge low commissions but also make you pay for the data you want. So for someone who buys a few times a year it doesn’t make sense to pay for the data, but if you are regularly…[Read more]

Yeah I guess you’re right Richard, that’s all it is. Funny, I’ve been with them for about a year and never seen this, Fidelity is a little more upfront with margins loan fee percentages and things like this. (but Fidelity has a 200% requirement) They did tell me it applies to UVXY, not TVIX or VXX. Most of last year I shorted TVIX so that’s why…[Read more]

@ereitzel From reading the email it looks like they are just applying the standard loan rates, it’s not punishment. I’d be curious to ask them if they markup the rate and/or if there are any other fees associated with shorting shares.

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.

I think the sustained VIX has more to do with the distance $SPY is now from the 10 and 20 DMA. You saw it this morning when $SPY briefly dipped and yet VIX disproportionately spiked. It was very apparent that traders are immensely fearing a green to red reversal day. Turned out to be a false alarm but the true nature of the fear driving VIX right…[Read more]

I suppose there may be something to looking at how the market reacts during that first 30 minutes “auction” as a determination of how volatile the day as a whole will be and then looking at how the VIX futures lag in response.

Well, it would be interesting to see the research done but i’d never actually trade that way 😉

Personally i’d more…[Read more]

I’m curious how the futures open later today especially given the potential of an overnight deal to keep the lights on, but instead of making a determination of what will happen I’m just planning on what i’ll do for what I see as the 3 likely scenarios:
1) Deal comes through, VIX crush occurs my plan: Satisfied grin, start taking profit on short…[Read more]

I bought a bunch of long calls almost equalized out my short calls to see what would happen if they shut down.

I’m also ready to short volatility if a shutdown occurs and a volatility spike ensues. Textbook example of a temporary problem that will get cleared up, as opposed to an actual problem with the economy.

Made an easy $900 just selling 100 SVXY Jan19 139 calls @ 0.10 per pop this morning. Thanks!

Good save