To answer the question, it's the only way I trade as of now, and I'm finally making more money trading than at my daytime job so I'm considering quitting altogether, but we'll see... But right now, for simplicity, I am trading straight VIX futures, which are calculated as a composite IV of the SPX options. My final goal is to switch the VIX futures for trading IV directly on the SPX which allow for being much more selective on where on the IV surface to trade. But that also makes active delta-hedging etc. neccessary whereast with VIX futures this is not neccessary. So it would require more attention from me but the profit potential is much higher. My ultimate goal would be getting into market making on SPX and VIX options but right now I'm just playing with the idea. I have some automated Excel sheet connected to TWS (The sheet is actually found on IBs homepage under the API-section, but I've modified it quite a bit) that actively sits on bids and asks of various options and manages to keep me delta neutral. But my VBA skills are very limited, Excel is kind of slow and I've had numerous weird occurances like 50 orders being sent at once etc. so I'm not really confident handing my trading over to some bot just yet. But still it's very interesting to work with. What would be way cool is being positive theta on VIX options whilst being negative delta to the downside, essentially making both VIX contango and the theta on the VIX options themselves. Then if VIX spikes you gradually shell of deltas to the upside to reduce risk. And when it declines you put on more deltas (cut losers let winners run). Anyways I'm rambling now, but yeah it's intersting to work wth options, for sure. Volatility markets are definitely my favorite type of markets. But they can be a bit complicated to understand so there are some higher barriers to entry.
Last edited by PeterOhlson; November 21st, 2013 at 07:19 PM.
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First time poster after lurking here for a couple of weeks. And I first want to say what an amazing thread! Thank you to everyone for sharing some incredible insights. And YES, I have read through *almost* all it!
I actually had a question about Thanksgiving hours for the NYMEX and COMEX. The CME posts their holiday schedule, but it's confusing to decipher. Can anyone shed some light on this, and will there continue to be electronic trading on Thanksgiving day? When I read the schedule, it appears to vary by the product, which adds to the confusion. If it helps, the products I'm interested in are CL, NG, and GC.
Thanks in advance!
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All the drops in margin Ron's been notifying us about are welcome but translating to thin premiums all round.
Following Moore's 'Volitility' section, I see more and more red numbers showing in both Implied vol. and Historic vol ie below -1 standard deviation, apart from Eurodollar nothing showing above + 1 STD for some time now.