v****e
发帖数: 19471 | |
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？
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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
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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？
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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？
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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.
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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??
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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.
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a*****e
发帖数: 1717 | 10 you think trading vix spread is easy?
be my guest, I've lost $$$$ on it.
the bid ask spread for this spreading is huge.
I tried K1-M1, the spread is about 0.10 out of 0.6 cost,
round trip transaction cost is more than 33%.
【在 EM 的大作中提到】
: so you need to spread the futures...
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j***b
发帖数: 5901 | 11 这个有人可能是我。在股票茶馆里面发的。
我back test到2006年某个时间。那时是刚开始有vix futures。在大牛市之前vxx没有
“time decay”的属性，就是说vix从x变来变去经历很长时间又回到接近x，vxx并没有
显著下跌，甚至还能上涨。
但是自大牛市以来vxx确实是飞速下跌。其速度比3倍反向etf还快很多。
我觉得vxx飞速下跌应该是大牛市的特征。大牛市大家想通过vix future来hedge，必然
导致contango，就是预期vix会上涨。但是大牛市的vix不但不涨，还会降。这个期望和
现实的差距导致vxx急速下跌。
【在 v*****k 的大作中提到】
: 据说有人back test过，vxx长期下降非常态
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EM
发帖数: 715 | 12 isn't the bid ask spread 1 tick for both legs?
【在 a*****e 的大作中提到】
: you think trading vix spread is easy?
: be my guest, I've lost $$$$ on it.
: the bid ask spread for this spreading is huge.
: I tried K1-M1, the spread is about 0.10 out of 0.6 cost,
: round trip transaction cost is more than 33%.
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a*****e
发帖数: 1717 | 13 one tick is 5 cents for VIX.
I knew you had no VIX futures trading experience.
Please don't suggest others based on your imaginations.
【在 EM 的大作中提到】
: isn't the bid ask spread 1 tick for both legs?
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EM
发帖数: 715 | 14 please don't make early decision on me...
i do trade vix futures and double my capital in 2 months, which is not too
much but decent...
【在 a*****e 的大作中提到】
: one tick is 5 cents for VIX.
: I knew you had no VIX futures trading experience.
: Please don't suggest others based on your imaginations.
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a*****e
发帖数: 1717 | 15 my apology,
but I keep my opinion,
mean reversal does not work nicely on VIX futures spread.
and transaction cost is huge
【在 EM 的大作中提到】
: please don't make early decision on me...
: i do trade vix futures and double my capital in 2 months, which is not too
: much but decent...
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u********e
发帖数: 4950 | 16 I guess the 33% bid-ask spread is what the Market Maker needed to make money
. :)
Seems to me, it is a suicide to trade those high bid-ask spread instruements
. Why it is so illiquid?
【在 a*****e 的大作中提到】
: you think trading vix spread is easy?
: be my guest, I've lost $$$$ 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%.
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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?
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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
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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
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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?
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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
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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?
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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
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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
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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.
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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
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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。
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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...
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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）。
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