S*******s
发帖数: 13043 | 1 Short vix Oct future while long vxx |
S*******s
发帖数: 13043 | |
s**********n
发帖数: 2343 | 3 short VIX? 您这牛得也太坚定了。
【在 S*******s 的大作中提到】
: Short vix Oct future while long vxx
|
u********e
发帖数: 4950 | 4 Not a bad idea
The key is the capital management for your strategy
VIX jumped up and down very quickly
【在 S*******s 的大作中提到】
: Short vix Oct future while long vxx
|
S*******s
发帖数: 13043 | 5 you still did not get it. actually you are wrong that at least today vxx
jumps more than vix future.
【在 u********e 的大作中提到】
: Not a bad idea
: The key is the capital management for your strategy
: VIX jumped up and down very quickly
|
u********e
发帖数: 4950 | 6 what if the market went up 3% today?
【在 S*******s 的大作中提到】
: you still did not get it. actually you are wrong that at least today vxx
: jumps more than vix future.
|
S*******s
发帖数: 13043 | 7 how do you think?
【在 u********e 的大作中提到】
: what if the market went up 3% today?
|
a**d
发帖数: 55 | 8 It's not an arbitrage. The underlying of VXX is not the Oct future. It is
the vix future with constant maturity (1m). The reason for its jump more
than Oct future contract is because the convexity of the vix future curve. |
S*******s
发帖数: 13043 | 9 ok, you r on the right track. now give me a scenario causing loss for such
strategy in current market.
【在 a**d 的大作中提到】
: It's not an arbitrage. The underlying of VXX is not the Oct future. It is
: the vix future with constant maturity (1m). The reason for its jump more
: than Oct future contract is because the convexity of the vix future curve.
|
S*********g
发帖数: 5298 | 10 This is not arbitrage
this is rather a spread because VXX is based on a continuous rolling
schedule
from the front contract to the second contract
【在 S*******s 的大作中提到】
: Short vix Oct future while long vxx
|
|
|
u********e
发帖数: 4950 | 11 There is a reason for the existance of "contango"
【在 S*******s 的大作中提到】
: how do you think?
|
a**d
发帖数: 55 | 12 In the order of high to low possibility:
0). No default in Greece in Oct/Germany decides to buy bonds/Set up
Eurobonds, basically nothing happened in the coming month.
1). VIX remain high, but major events perceived in the next two months or so.
3). VIX spot collapse, no perceived danger in the next one and half month.
The high level of VIX spot implies it IS possible to go further in either
direction. If it gets worse (or as long as the future curve remains the
current shape), then you are fine. Otherwise, lossing scenario will occur in
a blink... so you gotta be very careful on that... |
a**d
发帖数: 55 | 13 In the order of high to low possibility:
0). No default in Greece in Oct/Germany decides to buy bonds/Set up
Eurobonds, basically nothing happened in the coming month.
1). VIX remain high, but major events perceived in the next two months or so.
3). VIX spot collapse, no perceived danger in the next one and half month.
The high level of VIX spot implies it IS possible to go further in either
direction. If it gets worse (or as long as the future curve remains the
current shape), then you are fine. Otherwise, lossing scenario will occur in
a blink... so you gotta be very careful on that... |
f******d
发帖数: 6361 | 14 大牛，可以讲讲最近的超光速靠谱吗：）？？
【在 S*********g 的大作中提到】
: This is not arbitrage
: this is rather a spread because VXX is based on a continuous rolling
: schedule
: from the front contract to the second contract
|
b******r
发帖数: 16603 | 15 VIX 10 is 11% more than VIX 11 now.
Today VIX 11 jumped 7%+ while VIX 10 jumped 6%+, so the backwardation is
starting to shrink if the trend continue. Plus your VXX has 5% daily
rollover. The premium could be getting very slim soon. Just be careful. |
S*********g
发帖数: 5298 | 16 If he does not do his own rebalancing, he is pretty much gradually adding on
a calendar spread of (-UXV1 + UXX1) as time goes by
【在 b******r 的大作中提到】
: VIX 10 is 11% more than VIX 11 now.
: Today VIX 11 jumped 7%+ while VIX 10 jumped 6%+, so the backwardation is
: starting to shrink if the trend continue. Plus your VXX has 5% daily
: rollover. The premium could be getting very slim soon. Just be careful.
|
d********1
发帖数: 3828 | 17 vxx就是通过交易vix future实现的，所以long vxx就是操作vix future。你这样说就
等于说单单操作vix future可以实现arbitrage。
【在 S*******s 的大作中提到】
: Short vix Oct future while long vxx
|
S*******s
发帖数: 13043 | 18 when ppl talk arbitrage, they actually talk statical arbitrage. which mean
highly likely to make money.
【在 d********1 的大作中提到】
: vxx就是通过交易vix future实现的，所以long vxx就是操作vix future。你这样说就
: 等于说单单操作vix future可以实现arbitrage。
|
S*******s
发帖数: 13043 | 19 guess you meant backwardation. here we care the effect more than cause.
【在 u********e 的大作中提到】
: There is a reason for the existance of "contango"
|
S*******s
发帖数: 13043 | 20 y, you got it.
but why exagaerate the impact of the shrinking spread. as long as there is
spread, theoretically there is arbitrage. and now the spread is big enough
to make it practical.
【在 b******r 的大作中提到】
: VIX 10 is 11% more than VIX 11 now.
: Today VIX 11 jumped 7%+ while VIX 10 jumped 6%+, so the backwardation is
: starting to shrink if the trend continue. Plus your VXX has 5% daily
: rollover. The premium could be getting very slim soon. Just be careful.
|
S*******s
发帖数: 13043 | 21 无知的人们呀，我这是往你们手里塞钱，却被你们傲慢地拒绝了 |
S*******s
发帖数: 13043 | 22 spread越来越小，今天把它平仓了。
不算leverage,赚7%。关键风险极低。 |
