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 Post subject: VIX Trading
PostPosted: 1/1/16 23:03 
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Joined: 8/9/07 00:28
Posts: 3291
2016新年开始,支持168,开一个VIX trading系统.


Last edited by ES_DayTrader on 3/14/16 21:15, edited 13 times in total

 
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 Post subject: Re: XIV & VXX Trading
PostPosted: 1/1/16 23:04 
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Joined: 8/9/07 00:28
Posts: 3291
也是新手,摸索之中,多多指教.


Last edited by ES_DayTrader on 3/14/16 21:16, edited 4 times in total

 
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 Post subject: Re: XIV & VXX Trading
PostPosted: 1/1/16 23:06 
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Joined: 8/9/07 00:28
Posts: 3291
.


Last edited by ES_DayTrader on 3/14/16 21:16, edited 3 times in total

 
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 Post subject: Re: XIV & VXX Trading
PostPosted: 1/1/16 23:08 
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Joined: 8/9/07 00:28
Posts: 3291
现在hold uvxy: $28.39 (12/31 close price).


 
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 Post subject: Re: XIV & VXX Trading
PostPosted: 1/2/16 01:54 
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Joined: 9/19/11 17:01
Posts: 411
大师看大盘的功力很牛,不过uvxy的震荡衰减很厉害。

上周五假如同样从10:38am做空大盘,一个人烧spy,到收盘的时候能有204.28-203.89=0.4点的收益,约0.196%。另一人同时买uvxy,hold到收盘收益为28.39-28.28=0.01,约0.035%。一天不到uvxy就有0.15%的震荡衰减,不知道有没有考虑过。

ES_DayTrader wrote:
现在hold uvxy: $28.39 (12/31 close price).


 
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 Post subject: Re: XIV & VXX Trading
PostPosted: 1/2/16 04:28 
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Joined: 5/12/13 02:56
Posts: 1293
先支持大官一下,凭大官的vision, 一定能把Vix嘛的炒得有声有色。
ES_DayTrader wrote:
2016新年开始,支持168,开一个VIX trading系统. ;-)


 
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 Post subject: Re: XIV & VXX Trading
PostPosted: 1/2/16 08:22 
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Joined: 3/28/11 09:18
Posts: 525
gxgx. 开张大吉。


 
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 Post subject: Re: XIV & VXX Trading
PostPosted: 1/2/16 10:05 
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Joined: 8/8/10 22:40
Posts: 1612

ES_DayTrader wrote:
2016新年开始,支持168,开一个VIX trading系统. ;-)
Gxgx, 祝大官2016继续升官发财啊 ;-)


 
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 Post subject: Re: XIV & VXX Trading
PostPosted: 1/2/16 10:15 
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ES_DayTrader wrote:
2016新年开始,支持168,开一个VIX trading系统. ;-)
Have some naive questions , sorry. Why u use xiv and vxx in ur topic title? Xiv -- short volatility, vxx-- long volatility? short-term vix? Do u usually trade uvxy? 希望大官讲一讲你对它们的本质的理解,briefly, short but to the point, 菜鸟我先多谢啊!


 
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 Post subject: Re: XIV & VXX Trading
PostPosted: 1/2/16 11:32 
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Joined: 12/17/15 21:13
Posts: 40
谢谢大官,搬板凳学习了。这段时间我也只做UVXY。


 
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 Post subject: Re: XIV & VXX Trading
PostPosted: 1/2/16 13:21 
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Joined: 6/13/10 20:16
Posts: 91
支持


 
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 Post subject: Re: XIV & VXX Trading
PostPosted: 1/2/16 16:38 
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Joined: 8/9/07 00:28
Posts: 3291
以上同学一并谢了. 想了一下, title改成VIX Trading比较好. 这样XIV,VXX,SVXY,UVXY,还有他们的option都可以抄. ;-)
sunnyday wrote:

ES_DayTrader wrote:
2016新年开始,支持168,开一个VIX trading系统. ;-)
Have some naive questions , sorry. Why u use xiv and vxx in ur topic title? Xiv -- short volatility, vxx-- long volatility? short-term vix? Do u usually trade uvxy? 希望大官讲一讲你对它们的本质的理解,briefly, short but to the point, 菜鸟我先多谢啊!


 
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 Post subject: Re: VIX Trading
PostPosted: 1/2/16 17:00 
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基本知识:

VIX: VIX is an CBOE Volatility Index. VIX is a measure of expected volatility calculated as 100 times the square root of the expected 30-day variance (var) of the S&P 500 rate of return. The variance is annualized and VIX expresses volatility in percentage points.

VIX = 100xSQRT(VAR), where VAR = Expected 30-day variance of S&P rate of return.

Since 30-day options are usually not available, a 30-day expected variance is inter- or extrapolated as a weighted average of the forward prices P1 and P2 of two options strips with the two closest nearby expirations T1 and T2, but no closer than eight days from their expiration dates. The option with the near-term expiration is dropped from the calculation on the Monday preceding its expiration (3rd Saturday of the month) and a new far-term option is added. The weights used to average the forward prices P1 and P2 are w = (T2 -30)/(T2-T1) and 1- w: Expected 30-day variance = wP1 + (1-w)P2

就是说VIX是用最近的两个月的SPX option chain prices联合算出来的. 越靠近最近一个月的spx option expiration date, 下一个月spx option chain price占的权重越重. 每过15秒VIX update一次, 每过一天, VIX要根据最近两个月的SPX option chain prices adjust weight重新计算.

从2014年10月6号起, CBOE开始用靠近30天最近的两个weekly SPX option chain prices计算VIX. 这样更精确地计算expected 30 day variance of S&P rate of return.

More about VIX at CBOE website: https://cfe.cboe.com/education/vixprimer/about.aspx

VIX is not a tradable asset, and trading the VIX in fact means:

  • Trading its derivatives (futures),
  • Trading its derivatives of derivatives (options on futures, ETFs/ETNs like XIV,VXX,SVXY,UVXY)
  • Or even trading its derivatives of derivatives of derivatives (options on SVXY, UVXY).

 

我们这里不讨论trading VIX futures. 主要讨论做XIV,VXX,SVXY,UVXY.



Last edited by ES_DayTrader on 1/3/16 11:33, edited 1 time in total

 
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 Post subject: Re: VIX Trading
PostPosted: 1/2/16 17:37 
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Posts: 3291
重要概念: contango and backwardation. http://vixcentral.com/; http://vixcontango.com/

VIX futures:

VIX futures are contracts on forward 30-day implied volatilities. For example, in March, a May futures is a forward contract on what 30-day implied volatility will be on the May expiration date.


Contango就是VIX 远期future price 高于近期的 (or any VIX future prices高于current VIX index price.) Backwardation相反.

一般来讲大部分时间 (>80%)VIX future是contango的形态. Backwardation只在大跌时(如2015年8月那次)才出现. 这是因为一般来讲时间越长uncertainty越大,大家愿意付多的钱去hedge S&P.

However, at the expiration date of a VIX future contract, the VIX future price will converge to VIX price.


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Last edited by ES_DayTrader on 1/3/16 12:09, edited 4 times in total
 
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 Post subject: Re: VIX Trading
PostPosted: 1/2/16 17:55 
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VXX:

iPath S&P 500 VIX Short Term Futures ETN. It is designed to go up when the volatility of the S&P 500 goes up. It tracks 1x daily changed of VIX.


UVXY:

ProShares Ultra VIX Short-Term Futures ETF. Designed to track 2x daily change in VIX.

XIV: 

Velocity Shares Daily Inverse VIX Short-Term ETN (1~2 months). It is designed to go up when the volatility of the S&P 500 goes down. It tracked inverse of the 1x daily change of VIX.

SVXY:

ProShares Short VIX Short-Term Futures ETF. Similar to XIV.

那么这些ETF/ETN如何track VIX index呢?

因为VIX是通过SPX options计算的, SPX options尤其是Out of the Money (OTM) option非常不liquid. 这些ETF/ETN不可能通过直接买卖所有strike的SPX options来track VIX. 于是他们就用buy/sell 最近两个月到期的VIX futures来approximate.

可是通过买卖VIX future contracts就引入了contango/backwardation带来的问题. 这就是contango loss / backwardation gain for VXX/UVXY. and vise versa for XIV/SVXY.

拿VXX举例,每天这些fund就卖出一部分最近一个月的VIX future contracts, 然后买入一部分下一个月的VIX contracts. 这样一直"roll"下去.

前面讲过, 大多数时间人们 "overestimate" actual VIX price by paying too high of a price for VIX futures (contango), but eventually the VIX future price converge with VIX price when they expire. 所以大多数时间下hold VIX future lose money. 同理hold VXX和UVXY也一般来讲要lose money (假设VIX不变的情况下). 而hold XIV/SVXY就有赢钱的advantage.

在backwardation的情况下正好相反, XIV/SVXY有输钱的disadvantage而VXX/UVXY有赢钱的advantage.

UVXY因为是track 2x daily VIX change, 还有一个componding的问题(就是所谓的震荡损耗). 如果VIX每天up/down,这个震荡损耗会很大. however,在连续几天VIX升的情况下,UVXY会上升超过2x VIX的change.


Last edited by ES_DayTrader on 1/3/16 14:14, edited 7 times in total

 
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