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 Post subject: Re: VIX Trading
PostPosted: 1/2/16 18:08 
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Joined: 8/9/07 00:28
Posts: 3291
重要概念: VRP

VIX是predict下面30天的S&P 500 volatility. 这个prediction往往和实际的S&P 500 volatility有区别.  这个difference就是所谓的Volatility Risk Premium (VRP).

VRP: The VRP (Volatility Risk Premium) signal compares forward implied volatility (VIX) with historical volatility. The common convention is that a positive reading indicates a buy signal for XIV while a change to negative indicates a buy signal for VXX. The magnitude of the reading is irrelevant for our purposes.

据统计, VIX往往over-estimate S&P实际的(historical) volatility.所以VRP一般是正的,这时买XIV/SVXY比较合适. 反之,当VIX没有predict到大的volatility(2015年八月),那么VRP就是负的,这时买VXX/UVXY合算.

那么实际S&P 500 volatility和VRP怎么算呢?

实际S&P 500 volatility: http://adamhgrimes.com/blog/how-do-you- ... -in-excel/

选择number of days (n) in most recent historical S&P volatility can be tricky. n=2是最小,也有人选n=5或n=10. n越大,实际volatility算的是以前n天的,会比较stable,但是不能反映最近几天的变化.

这个人的VRP stratergy用n=2 (http://www.tradingtheodds.com/2015/01/v ... former-is/) :

  • Long XIV: 5-day average of [VIX – (2-day historical volatility of S&P 500 * 100)] > 0
  • Long VXX: 5-day average of [VIX – (2-day historical volatility of S&P 500 * 100)] ≤ 0
  • Hold until a change in position.



 
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 Post subject: Re: VIX Trading
PostPosted: 1/2/16 18:40 
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Joined: 8/9/07 00:28
Posts: 3291
网上已经有一些人卖类似的VIX training systems/stratergies:

http://www.tradingtheodds.com/

http://www.tradingvolatility.net

http://volatilitymadesimple.com/xiv-vxx/

http://www.optionvue.com/VXX.html

http://sixfigureinvesting.com/

等等. 这些都是收费的.

这些机械系统都claim big yearly return(通过simulated trading.) 但是大部分都一段时期有很大的draw down. 具体可看他们网页里的一些统计数据.

这些stratergy的问题是他们试图take advantage of 当前VIX future contango/backwardation situation, 或 VRP的situation, 或combination of both. 但是他们都基本不考虑underlying S&P volatility 近期可能的变化,这些变化和S&P support/resistance, 大的event (FED meeting, Labor#)等等有密切关系. 而正是这些变化是VIX变化的主因.

另外這些stratergies买卖信号基本是发在end of day. 在big event的情况下, XIV/VXX/SVXY/UVXY一天就会涨跌10%以上.倒时再割可能已经晚了.


Last edited by ES_DayTrader on 1/3/16 14:50, edited 2 times in total

 
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 Post subject: Re: VIX Trading
PostPosted: 1/2/16 18:47 
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Joined: 8/9/07 00:28
Posts: 3291
根据以上的总结,我(正在探索)的vix trading“系统”根据以下几个因素综合判断:

  • 当前VIX contango/backwardation situation及其它们的momentum转变;
  • 当前VRP情况;
  • 当前S&P support/resistance lines & coming up big events;

和最重要的

  • 大官的VisionVery Happy


所以这不是一个全机械的“系统".




Last edited by ES_DayTrader on 1/3/16 14:52, edited 1 time in total

 
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 Post subject: Re: XIV & VXX Trading
PostPosted: 1/2/16 18:53 
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Joined: 8/9/07 00:28
Posts: 3291
uvxy是2xETF,确实有震荡衰减的问题. 这个绝对不能长期hold.

我买uvxy是因为不看好一月份. 如果一月前俩礼拜不大跌也得尽快割了.

start wrote:
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: VIX Trading
PostPosted: 1/2/16 22:56 
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Joined: 8/8/10 22:40
Posts: 1617
B-) 大官真牛啊,您老不仅是年轻有为前途无量的大官,还是top notch professor ar! 讲得太好了,刚几个贴子,我已经葱白得从粉丝升级到粉条了! 2016, 大官是168正面男1号老师的有力竞争人啊!太赞了!


 
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 Post subject: Re: VIX Trading
PostPosted: 1/2/16 22:57 
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Joined: 10/3/06 11:11
Posts: 41685
mpj
sunnyday wrote:
B-) 大官真牛啊,您老不仅是年轻有为前途无量的大官,还是top notch professor ar! 讲得太好了,刚几个贴子,我已经葱白得从粉丝升级到粉条了! 2016, 大官是168正面男1号老师的有力竞争人啊!太赞了!


 
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 Post subject: Re: VIX Trading
PostPosted: 1/2/16 23:20 
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Joined: 8/8/10 22:40
Posts: 1617
For anyone who read this thread, please 点赞啊! 这些精美的总节,讲解都是took ls time and efforts ar. Please keep in mind, @TEOTD, sharing precious experience needs encouragement.

给大官个建議,对与那些老师/fans/non-fans who read this thread, but have not asked any questions, given any insight, sent any congratulations, applauses, or flowers, such as erge, give him a pop quiz, please ^_^


 
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 Post subject: Re: VIX Trading
PostPosted: 1/2/16 23:27 
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Joined: 8/8/10 22:40
Posts: 1617
二哥好啊, 新年快乐!祝二哥2016发大财,帐户nnnn倍啊!~_~
neverlate wrote:
mpj
sunnyday wrote:
B-) 大官真牛啊,您老不仅是年轻有为前途无量的大官,还是top notch professor ar! 讲得太好了,刚几个贴子,我已经葱白得从粉丝升级到粉条了! 2016, 大官是168正面男1号老师的有力竞争人啊!太赞了!


 
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 Post subject: Re: VIX Trading
PostPosted: 1/3/16 00:39 
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Joined: 10/3/06 11:11
Posts: 41685
en, 好,我乐了。也祝sunnymm新年快乐发大财。
另,拍马屁也得严谨些好,你看你用"您老"跟后面"年轻有为"就有矛盾。把"老"去掉就好了。

sunnyday wrote:
二哥好啊, 新年快乐!祝二哥2016发大财,帐户nnnn倍啊!~_~
neverlate wrote:
mpj
sunnyday wrote:
B-) 大官真牛啊,您老不仅是年轻有为前途无量的大官,还是top notch professor ar! 讲得太好了,刚几个贴子,我已经葱白得从粉丝升级到粉条了! 2016, 大官是168正面男1号老师的有力竞争人啊!太赞了!


 
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 Post subject: Re: VIX Trading
PostPosted: 1/3/16 01:08 
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Joined: 12/17/10 12:57
Posts: 3021
啥叫vrp?
ES_DayTrader wrote:
我(正在探索)的vix trading“系统”根据以下几个因素综合判断:

  • 当前VIX contango/backwardation situation及其它们的momentum转变;
  • 当前VRP情况;
  • 当前S&P support/resistance lines & coming up big events;

和最重要的

  • 大官的VisionVery Happy


所以这不是一个全机械的“系统".




 
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 Post subject: Re: VIX Trading
PostPosted: 1/3/16 02:13 
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Joined: 8/8/10 22:40
Posts: 1617
Oh, 我以为您老是指学术造诣哪,不知道是指年龄啊?好,谢谢二哥矫正,以后就用您好啦。鈽 不过我真是觉得兔哥讲东西很清晰,思路很严密啊馃憦
neverlate wrote:
en, 好,我乐了。也祝sunnymm新年快乐发大财。
另,拍马屁也得严谨些好,你看你用"您老"跟后面"年轻有为"就有矛盾。把"老"去掉就好了。

sunnyday wrote:
二哥好啊, 新年快乐!祝二哥2016发大财,帐户nnnn倍啊!~_~
neverlate wrote:
mpj


 
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 Post subject: Re: VIX Trading
PostPosted: 1/3/16 05:46 
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Joined: 5/12/13 02:56
Posts: 1293
馃憤大官。记得从前有过不少xiv, svxy, vxx 和uvxy 的讨论。等有时间翻々


 
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 Post subject: Re: VIX Trading
PostPosted: 1/3/16 14:54 
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Joined: 8/9/07 00:28
Posts: 3291
我不是professor啊,我给professor发钱啊. Very Happy

前面的总结改了改,昨天有的叙述不够完全正确。另外加了点内容.

sunnyday wrote:
B-) 大官真牛啊,您老不仅是年轻有为前途无量的大官,还是top notch professor ar! 讲得太好了,刚几个贴子,我已经葱白得从粉丝升级到粉条了! 2016, 大官是168正面男1号老师的有力竞争人啊!太赞了!


 
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 Post subject: Re: VIX Trading
PostPosted: 1/3/16 14:56 
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Joined: 8/9/07 00:28
Posts: 3291
前面有.

happymaker wrote:
啥叫vrp?
ES_DayTrader wrote:
我(正在探索)的vix trading“系统”根据以下几个因素综合判断:

  • 当前VIX contango/backwardation situation及其它们的momentum转变;
  • 当前VRP情况;
  • 当前S&P support/resistance lines & coming up big events;

和最重要的

  • 大官的VisionVery Happy


所以这不是一个全机械的“系统".




 
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 Post subject: Re: VIX Trading
PostPosted: 1/3/16 18:57 
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Joined: 8/3/10 21:33
Posts: 9703
UVXY 平均12% DECAY 一个月, 但是还是值得做的, 看VIX涨跌就可以了。


 
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