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Stock版 - 有没有长期空VXX的?
相关主题
VIX能弄spread trade吗?VXX 走势奇怪
Who knows why the vix futures have such big contango?还有没有类似 contango的陷阱?
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vix跌了9%,为啥vxx才跌了2%不到?关于指数future 和option的思考
再说一遍,uvxy是2x近期vix futures建仓VXX bear spread
真来个87年的黑色星期一,UVXY能涨多少?近期大盘和VIX的走势
哪个好人帮忙解释一下VIX和VXX今天超级背离阿?刚刚脱手了1万股VIX
相关话题的讨论汇总
话题: vix话题: spread话题: futures话题: vxx话题: tick
进入Stock版参与讨论
1 (共1页)
v****e
发帖数: 19471
1
给说说?
EM
发帖数: 715
2
不如long vix future spread来得实惠

【在 v****e 的大作中提到】
: 给说说?
v****e
发帖数: 19471
3
Can you please elaborate? Thanks!

不如short vix future spread来得实惠
★ Sent from iPhone App: iReader Mitbbs 7.20 - iPad

【在 EM 的大作中提到】
: 不如long vix future spread来得实惠
v*****k
发帖数: 7798
4
据说有人back test过,vxx长期下降非常态

【在 v****e 的大作中提到】
: 给说说?
r*m
发帖数: 16380
5
nX ETF也是长期下降状态。
我正在实践捂烧FAS(FAZ)。
a*****e
发帖数: 1717
6
http://onlyvix.blogspot.com/
http://vixandmore.blogspot.com/
not attractive,
contango, spread, and other transaction cost of rolling over make it decay
consistently.

【在 v****e 的大作中提到】
: 给说说?
EM
发帖数: 715
7
decay consistently == not attractive??

【在 a*****e 的大作中提到】
: http://onlyvix.blogspot.com/
: http://vixandmore.blogspot.com/
: not attractive,
: contango, spread, and other transaction cost of rolling over make it decay
: consistently.

a*****e
发帖数: 1717
8
with spikes, reward/risk is small.

【在 EM 的大作中提到】
: decay consistently == not attractive??
EM
发帖数: 715
9
so you need to spread the futures...

【在 a*****e 的大作中提到】
: with spikes, reward/risk is small.
a*****e
发帖数: 1717
10
you think trading vix spread is easy?
be my guest, I've lost $$$$ on it.
the bid ask spread for this spreading is huge.
I tried K1-M1, the spread is about 0.10 out of 0.6 cost,
round trip transaction cost is more than 33%.

【在 EM 的大作中提到】
: so you need to spread the futures...
相关主题
再说一遍,uvxy是2x近期vix futuresVXX 走势奇怪
真来个87年的黑色星期一,UVXY能涨多少?还有没有类似 contango的陷阱?
哪个好人帮忙解释一下VIX和VXX今天超级背离阿?vix问题
进入Stock版参与讨论
j***b
发帖数: 5901
11
这个有人可能是我。在股票茶馆里面发的。
我back test到2006年某个时间。那时是刚开始有vix futures。在大牛市之前vxx没有
“time decay”的属性,就是说vix从x变来变去经历很长时间又回到接近x,vxx并没有
显著下跌,甚至还能上涨。
但是自大牛市以来vxx确实是飞速下跌。其速度比3倍反向etf还快很多。
我觉得vxx飞速下跌应该是大牛市的特征。大牛市大家想通过vix future来hedge,必然
导致contango,就是预期vix会上涨。但是大牛市的vix不但不涨,还会降。这个期望和
现实的差距导致vxx急速下跌。

【在 v*****k 的大作中提到】
: 据说有人back test过,vxx长期下降非常态
EM
发帖数: 715
12
isn't the bid ask spread 1 tick for both legs?

【在 a*****e 的大作中提到】
: you think trading vix spread is easy?
: be my guest, I've lost $$$$ on it.
: the bid ask spread for this spreading is huge.
: I tried K1-M1, the spread is about 0.10 out of 0.6 cost,
: round trip transaction cost is more than 33%.

a*****e
发帖数: 1717
13
one tick is 5 cents for VIX.
I knew you had no VIX futures trading experience.
Please don't suggest others based on your imaginations.

【在 EM 的大作中提到】
: isn't the bid ask spread 1 tick for both legs?
EM
发帖数: 715
14
please don't make early decision on me...
i do trade vix futures and double my capital in 2 months, which is not too
much but decent...

【在 a*****e 的大作中提到】
: one tick is 5 cents for VIX.
: I knew you had no VIX futures trading experience.
: Please don't suggest others based on your imaginations.

a*****e
发帖数: 1717
15
my apology,
but I keep my opinion,
mean reversal does not work nicely on VIX futures spread.
and transaction cost is huge

【在 EM 的大作中提到】
: please don't make early decision on me...
: i do trade vix futures and double my capital in 2 months, which is not too
: much but decent...

u********e
发帖数: 4950
16
I guess the 33% bid-ask spread is what the Market Maker needed to make money
. :)
Seems to me, it is a suicide to trade those high bid-ask spread instruements
. Why it is so illiquid?

【在 a*****e 的大作中提到】
: you think trading vix spread is easy?
: be my guest, I've lost $$$$ on it.
: the bid ask spread for this spreading is huge.
: I tried K1-M1, the spread is about 0.10 out of 0.6 cost,
: round trip transaction cost is more than 33%.

a*****e
发帖数: 1717
17
my guess is it's illiquid because it seems easy to buy low/sell high,
but trapped a lot of ppl. And vix is decided by middle price which is
kind of manipulable.
and leverage is so high compared to the volatility of VIX.

money
instruements

【在 u********e 的大作中提到】
: I guess the 33% bid-ask spread is what the Market Maker needed to make money
: . :)
: Seems to me, it is a suicide to trade those high bid-ask spread instruements
: . Why it is so illiquid?

S*********g
发帖数: 5298
18
这个基本就是XVIX

【在 EM 的大作中提到】
: 不如long vix future spread来得实惠
EM
发帖数: 715
19
It costs me about $4 for a round trip, so a round-trip spread trade is about
$8, which is only 8/50 tick... and it depends on strategy. crossing
strategy on vix is too risky.

【在 a*****e 的大作中提到】
: my apology,
: but I keep my opinion,
: mean reversal does not work nicely on VIX futures spread.
: and transaction cost is huge

S*********g
发帖数: 5298
20
no. It is bigger than that
VIX futures are not very liquid
Plus, their tick size is huge

【在 EM 的大作中提到】
: isn't the bid ask spread 1 tick for both legs?
相关主题
科普一下VIX相关ETF, FUTURES近期大盘和VIX的走势
关于指数future 和option的思考刚刚脱手了1万股VIX
建仓VXX bear spread有周三周四follow我奥因TVIX的吗?给点包子吧。
进入Stock版参与讨论
EM
发帖数: 715
21
这个是etf还是future?

【在 S*********g 的大作中提到】
: 这个基本就是XVIX
S*********g
发帖数: 5298
22
This is ETF version of VIX spread

【在 EM 的大作中提到】
: 这个是etf还是future?
EM
发帖数: 715
23
all the front 8 vix futrues have 1 tick bid-ask spread, as far as what I am
looking at. the flow of the back month is not good but the book is tight...

【在 S*********g 的大作中提到】
: no. It is bigger than that
: VIX futures are not very liquid
: Plus, their tick size is huge

EM
发帖数: 715
24
I'll check that out. Thanks.

【在 S*********g 的大作中提到】
: This is ETF version of VIX spread
a*****e
发帖数: 1717
25
what does $4 mean?
VIX futures' minumal spread is $50 dollars per contract.
so spreading round trip is $200 + commission at least.
how could you get $4?
it's even $5 + commissions for mini VIX futures.

about

【在 EM 的大作中提到】
: It costs me about $4 for a round trip, so a round-trip spread trade is about
: $8, which is only 8/50 tick... and it depends on strategy. crossing
: strategy on vix is too risky.

E**O
发帖数: 1980
26
you can make money by shorting vxx only when vix < vix future(n) < vix
future (n+1).
tvix更牛,我七十几short的,现在十七了。
EM
发帖数: 715
27
sorry for the confusion, $4 is my round-trip all-in cost for futures asset
i agree it doesn't make sense to cross bid ask unless you have a pretty good
signal of where the train of flow is coming from...

【在 a*****e 的大作中提到】
: what does $4 mean?
: VIX futures' minumal spread is $50 dollars per contract.
: so spreading round trip is $200 + commission at least.
: how could you get $4?
: it's even $5 + commissions for mini VIX futures.
:
: about

v*****k
发帖数: 7798
28
恩,就是散户们不停猜顶不停被烧屁股的时候?lol

【在 E**O 的大作中提到】
: you can make money by shorting vxx only when vix < vix future(n) < vix
: future (n+1).
: tvix更牛,我七十几short的,现在十七了。

a*****e
发帖数: 1717
29
may I know which spread it was?

good

【在 EM 的大作中提到】
: sorry for the confusion, $4 is my round-trip all-in cost for futures asset
: i agree it doesn't make sense to cross bid ask unless you have a pretty good
: signal of where the train of flow is coming from...

E**O
发帖数: 1980
30
你的“nX ETF也是长期下降状态”是错误的,你正好捏了个金融的软柿子,TNA从09年
低点到现在8倍了。

【在 r*m 的大作中提到】
: nX ETF也是长期下降状态。
: 我正在实践捂烧FAS(FAZ)。

1 (共1页)
进入Stock版参与讨论
相关主题
刚刚脱手了1万股VIXvix跌了9%,为啥vxx才跌了2%不到?
有周三周四follow我奥因TVIX的吗?给点包子吧。再说一遍,uvxy是2x近期vix futures
求懂的人给科普下TVIX, VIX等的Contango真来个87年的黑色星期一,UVXY能涨多少?
SHORT UVXY哪个好人帮忙解释一下VIX和VXX今天超级背离阿?
VIX能弄spread trade吗?VXX 走势奇怪
Who knows why the vix futures have such big contango?还有没有类似 contango的陷阱?
Natural Gas, Contango, And UNGvix问题
VIX futures的基金都在怀疑中科普一下VIX相关ETF, FUTURES
相关话题的讨论汇总
话题: vix话题: spread话题: futures话题: vxx话题: tick