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 Post subject: Re: VIX Trading
PostPosted: 1/4/16 11:26 
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Joined: 3/16/09 23:30
Posts: 29415
good thread!
zan big officer!


 
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 Post subject: Re: VIX Trading
PostPosted: 1/4/16 11:31 
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Joined: 8/27/06 01:17
Posts: 8519
好帖,

赞大官


 
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 Post subject: Re: VIX Trading
PostPosted: 1/4/16 11:41 
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Joined: 9/24/08 23:52
Posts: 3136
Very good article, Thanks!


 
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 Post subject: Re: VIX Trading
PostPosted: 1/4/16 11:44 
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Joined: 3/28/11 09:18
Posts: 525
我老和山下出人才


 
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 Post subject: Re: VIX Trading
PostPosted: 1/4/16 17:55 
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Joined: 1/28/12 01:21
Posts: 65808

上次也是UVXY碰35下来,这次能破35么?

ES_DayTrader wrote:
我有系统的信号(见前几页), vision, 另外size小点嘛,又没有all-in.
ubc wrote:
诚心请教
TA上跌没说的
但是这uvxy得有吸白粉的信心


 
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 Post subject: Re: VIX Trading
PostPosted: 1/4/16 18:15 
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Joined: 4/27/10 05:19
Posts: 41
赞兔哥。 研究做得这条理分明。


 
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 Post subject: Re: VIX Trading
PostPosted: 1/4/16 18:21 
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Joined: 8/9/07 00:28
Posts: 3291
看看,如果有大position和day trading, 这些etf/etn一天很容易上下超过10%. 一定要设stop. For swing trade, 等我晚上回去研究信号再说.馃榾
ES_DayTrader wrote:
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.


 
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 Post subject: Re: VIX Trading
PostPosted: 1/4/16 23:05 
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Joined: 8/9/07 00:28
Posts: 3291
今天的update:

  • 当前VIX contango/backwardation situation及其它们的momentum转变: VIX contango 今天变成负的了(backwardation), 有利于hold VXX.
  •  
  • 当前VRP情况: VRP是正的,有利于hold XIV.
  •  
  • 当前S&P support/resistance lines & coming up big events: S&P爬回2000 support有利于bull, coming up China market: 情况不明(不容乐观).

和最重要的

  • 大官的VisionVery Happy: 还是认为市场短期要继续跌.

 


结论: 继续hold VXX.

(如果真买了uvxy,要put stop, in case 明天大涨).


 
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 Post subject: Re: VIX Trading
PostPosted: 1/4/16 23:06 
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Joined: 8/9/07 00:28
Posts: 3291
不好说.

dave_liu wrote:

上次也是UVXY碰35下来,这次能破35么?

ES_DayTrader wrote:
我有系统的信号(见前几页), vision, 另外size小点嘛,又没有all-in.
ubc wrote:
诚心请教
TA上跌没说的
但是这uvxy得有吸白粉的信心


 
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 Post subject: Re: VIX Trading
PostPosted: 1/4/16 23:10 
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Joined: 8/9/07 00:28
Posts: 3291
今天市场SPX大跌1.4%的情况下,我monitor的sector ETF涨幅最大的是:

1. GDX (2.84%) - I have.
2. OIH (0.98%)
3. TAN (0.42%) - I have.

估计这三个是今年要涨的几个主要sectors. (not very sure about OIH).


 
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 Post subject: Re: VIX Trading
PostPosted: 1/4/16 23:15 
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Joined: 3/14/13 15:12
Posts: 7563
大官. 勤奋能赚钱不?
ES_DayTrader wrote:
今天市场SPX大跌1.4%的情况下,我monitor的sector ETF涨幅最大的是:

1. GDX (2.84%) - I have.
2. OIH (0.98%)
3. TAN (0.42%) - I have.

估计这三个是今年要涨的几个主要sectors. (not very sure about OIH).


 
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 Post subject: Re: VIX Trading
PostPosted: 1/4/16 23:21 
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Joined: 3/10/14 22:12
Posts: 9114
赞。我正打算看看金子。鸭子今年可能翻身了。 :)
ES_DayTrader wrote:
今天市场SPX大跌1.4%的情况下,我monitor的sector ETF涨幅最大的是:

1. GDX (2.84%) - I have.
2. OIH (0.98%)
3. TAN (0.42%) - I have.

估计这三个是今年要涨的几个主要sectors. (not very sure about OIH).


 
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 Post subject: Re: VIX Trading
PostPosted: 1/4/16 23:26 
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Joined: 3/10/14 22:12
Posts: 9114
懒惰反正挣不来。
silenceman2013 wrote:
大官. 勤奋能赚钱不?
ES_DayTrader wrote:
今天市场SPX大跌1.4%的情况下,我monitor的sector ETF涨幅最大的是:

1. GDX (2.84%) - I have.
2. OIH (0.98%)
3. TAN (0.42%) - I have.

估计这三个是今年要涨的几个主要sectors. (not very sure about OIH).


 
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 Post subject: Re: VIX Trading
PostPosted: 1/4/16 23:26 
Offline 模拟帐户

Joined: 8/9/07 00:28
Posts: 3291
勤奋和聪明都不能保证赚钱,但是不勤奋肯定赚不到钱(除非中彩票了).
silenceman2013 wrote:
大官. 勤奋能赚钱不?
ES_DayTrader wrote:
今天市场SPX大跌1.4%的情况下,我monitor的sector ETF涨幅最大的是:

1. GDX (2.84%) - I have.
2. OIH (0.98%)
3. TAN (0.42%) - I have.

估计这三个是今年要涨的几个主要sectors. (not very sure about OIH).


 
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 Post subject: Re: VIX Trading
PostPosted: 1/4/16 23:47 
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Joined: 8/8/10 22:40
Posts: 1617
super 赞
ES_DayTrader wrote:
今天的update:

  • 当前VIX contango/backwardation situation及其它们的momentum转变: VIX contango 今天变成负的了(backwardation), 有利于hold VXX.
  •  
  • 当前VRP情况: VRP是正的,有利于hold XIV.
  •  
  • 当前S&P support/resistance lines & coming up big events: S&P爬回2000 support有利于bull, coming up China market: 情况不明(不容乐观).

和最重要的

  • 大官的VisionVery Happy: 还是认为市场短期要继续跌.

 


结论: 继续hold VXX.

(如果真买了uvxy,要put stop, in case 明天大涨).


 
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