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June 6th, 2020, 12:23 AM
Kyoto, Japan
Market Wizard
Experience: Intermediate
Platform: TW TOS LiveVol
Broker: TD, TW, IB, Saxo
Trading: VXX, VIX, SPY
Posts: 1,326 since Oct 2013
Thanks Given: 844
Thanks Received: 1,416
As we go into June there is blood in the streets and 7% contango on the VIX term structure.
Yet vol remains bid .
"Persistence is very important. You should not give up unless you are forced to give up." -- Elon Musk
Can you help answer these questions from other members on NexusFi?
Best Threads (Most Thanked) in the last 7 days on NexusFi
June 19th, 2020, 11:57 PM
New York, NY
Posts: 1 since Jun 2020
Thanks Given: 0
Thanks Received: 0
suko
[*NOTE: this discussion deliberately leaves out TVIX, which does not have options and which went from $36 to over $1000 during March. It's a tainted product.]
TVIX is so frequently dislocated from it's fair value and has interesting path dependencies. Why avoid it?
June 23rd, 2020, 09:55 PM
Kyoto, Japan
Market Wizard
Experience: Intermediate
Platform: TW TOS LiveVol
Broker: TD, TW, IB, Saxo
Trading: VXX, VIX, SPY
Posts: 1,326 since Oct 2013
Thanks Given: 844
Thanks Received: 1,416
TVIX has been viewed as a broken product in the vol space since 2012, so vol traders steer clear of it.
I am surprised it did not get delisted during this latest incident. SEC should have pulled its certification.
For sure this is not the last time there will be problems with TVIX.
"Persistence is very important. You should not give up unless you are forced to give up." -- Elon Musk
June 24th, 2020, 02:21 AM
Kyoto, Japan
Market Wizard
Experience: Intermediate
Platform: TW TOS LiveVol
Broker: TD, TW, IB, Saxo
Trading: VXX, VIX, SPY
Posts: 1,326 since Oct 2013
Thanks Given: 844
Thanks Received: 1,416
"Persistence is very important. You should not give up unless you are forced to give up." -- Elon Musk
June 27th, 2020, 09:44 PM
Kyoto, Japan
Market Wizard
Experience: Intermediate
Platform: TW TOS LiveVol
Broker: TD, TW, IB, Saxo
Trading: VXX, VIX, SPY
Posts: 1,326 since Oct 2013
Thanks Given: 844
Thanks Received: 1,416
Regarding the demise of TVIX, the conventional wisdom among vol traders since Volpocalypse wiped out XIV back in 2018, is that basically you've got VXX and that's it. All the other vol products are garbage.
"Persistence is very important. You should not give up unless you are forced to give up." -- Elon Musk
July 21st, 2020, 11:26 PM
Kyoto, Japan
Market Wizard
Experience: Intermediate
Platform: TW TOS LiveVol
Broker: TD, TW, IB, Saxo
Trading: VXX, VIX, SPY
Posts: 1,326 since Oct 2013
Thanks Given: 844
Thanks Received: 1,416
VIX settle for July is 24.84.
Just a scootch further and we will be out of Zone 4 and into 3 for the first time in six months. Zone 4, call it the "Red Zone" starts at 23.
I guess we'll see some VIX upside for awhile, going into August.
Screen Shot 2020-07-22 at 12.25.14
"Persistence is very important. You should not give up unless you are forced to give up." -- Elon Musk
July 22nd, 2020, 12:11 AM
Kyoto, Japan
Market Wizard
Experience: Intermediate
Platform: TW TOS LiveVol
Broker: TD, TW, IB, Saxo
Trading: VXX, VIX, SPY
Posts: 1,326 since Oct 2013
Thanks Given: 844
Thanks Received: 1,416
Ok now the JUL future roll-off is registering.
So, this term structure is not at all normal, but the front end looks kind of normal.
NOTE that the value between M1 and spot VIX at exactly one month out is usually 2.0.
This time it's 2.75 so normally that would be some serious edge for shorting the futures.
Screen Shot 2020-07-22 at 13.11.12
"Persistence is very important. You should not give up unless you are forced to give up." -- Elon Musk
August 31st, 2020, 08:21 PM
Kyoto, Japan
Market Wizard
Experience: Intermediate
Platform: TW TOS LiveVol
Broker: TD, TW, IB, Saxo
Trading: VXX, VIX, SPY
Posts: 1,326 since Oct 2013
Thanks Given: 844
Thanks Received: 1,416
Now that August is over and money managers have their plans in place, let's look at the VIX term structure.
M1 to M2 contango is over 18% and the difference is 5.25 points . Extreme. This has never been seen before.
There is more fear among money managers now than even when Warren was a viable contender.
So, how would you position for this as a retail trader? The usual answer would be time spreads, but those are forbidden for VIX.
"Persistence is very important. You should not give up unless you are forced to give up." -- Elon Musk
September 1st, 2020, 08:10 AM
Amsterdam
Experience: None
Platform: QuickStrike, CTS
Trading: Derivatives
Posts: 195 since Jul 2010
Thanks Given: 227
Thanks Received: 214
SPX call prices vs put prices mint new highs.
Source: Spotgamma
September 1st, 2020, 09:36 AM
Houston TX
Legendary Market Wizard
Experience: Advanced
Platform: TT and Stellar
Broker: Advantage Futures
Trading: Primarily Energy but also a little Equities, Fixed Income, Metals and Crypto.
Frequency: Many times daily
Duration: Never
Posts: 5,057 since Dec 2013
Thanks Given: 4,409
Thanks Received: 10,225
suko
M1 to M2 contango is over 18% and the difference is 5.25
points . Extreme. This has never been seen before.
Last Updated on May 27, 2021