NexusFi: Find Your Edge


Home Menu

 





AEX / VAEX


Discussion in Options

Updated
      Top Posters
    1. looks_one rleplae with 3 posts (1 thanks)
    2. looks_two mattygoal with 2 posts (0 thanks)
    3. looks_3 Quick Summary with 1 posts (0 thanks)
    4. looks_4 Trusty Jules with 1 posts (0 thanks)
    1. trending_up 1,303 views
    2. thumb_up 1 thanks given
    3. group 3 followers
    1. forum 6 posts
    2. attach_file 1 attachments




 
Search this Thread

AEX / VAEX

  #1 (permalink)
 
rleplae's Avatar
 rleplae 
Gits (Hooglede) Belgium
Legendary Market Wizard
 
Experience: Master
Platform: NinjaTrader, Proprietary,
Broker: Ninjabrokerage/IQfeed + Synthetic datafeed
Trading: 6A, 6B, 6C, 6E, 6J, 6S, ES, NQ, YM, AEX, CL, NG, ZB, ZN, ZC, ZS, GC
Posts: 3,003 since Sep 2013
Thanks Given: 2,442
Thanks Received: 5,863

Recently I have been struggling with the VAEX, which is the volatility index on the AEX (Amsterdam Exchange).
the VAEX on the AEX has been lock-stepped, i have been talking to a few fellow traders, who blame
backwardation/contango on the AEX

While i have never seen such mathematical issues on the ES, what is the explanation for the current VAEX
issue ? or is it just a plain Bug ?

Any AEX traders here ?



I checked it on my Reuters terminal, same data... what does this mean ?

Follow me on Twitter Visit my NexusFi Trade Journal Started this thread Reply With Quote
Thanked by:

Can you help answer these questions
from other members on NexusFi?
Better Renko Gaps
The Elite Circle
Pivot Indicator like the old SwingTemp by Big Mike
NinjaTrader
ZombieSqueeze
Platforms and Indicators
Cheap historycal L1 data for stocks
Stocks and ETFs
Trade idea based off three indicators.
Traders Hideout
 
  #3 (permalink)
mattygoal
HEILOO
 
Posts: 4 since Aug 2017
Thanks Given: 0
Thanks Received: 0


Did you find out what was going on? Thanks

Reply With Quote
  #4 (permalink)
 
rleplae's Avatar
 rleplae 
Gits (Hooglede) Belgium
Legendary Market Wizard
 
Experience: Master
Platform: NinjaTrader, Proprietary,
Broker: Ninjabrokerage/IQfeed + Synthetic datafeed
Trading: 6A, 6B, 6C, 6E, 6J, 6S, ES, NQ, YM, AEX, CL, NG, ZB, ZN, ZC, ZS, GC
Posts: 3,003 since Sep 2013
Thanks Given: 2,442
Thanks Received: 5,863


mattygoal View Post
Did you find out what was going on? Thanks

No not really, its like that, their algorithm to calculate the VIX is a bit quircky.

What i did is i created a module to calculate myself a dataseries that is a skew
proxy based on the options, which works better than this VIX.

Follow me on Twitter Visit my NexusFi Trade Journal Started this thread Reply With Quote
  #5 (permalink)
mattygoal
HEILOO
 
Posts: 4 since Aug 2017
Thanks Given: 0
Thanks Received: 0

That sounds complicated I do options on the AEX, mostly spreads. Why do you use the AEX if I may ask? (I am just a beginner)

Reply With Quote
  #6 (permalink)
 
rleplae's Avatar
 rleplae 
Gits (Hooglede) Belgium
Legendary Market Wizard
 
Experience: Master
Platform: NinjaTrader, Proprietary,
Broker: Ninjabrokerage/IQfeed + Synthetic datafeed
Trading: 6A, 6B, 6C, 6E, 6J, 6S, ES, NQ, YM, AEX, CL, NG, ZB, ZN, ZC, ZS, GC
Posts: 3,003 since Sep 2013
Thanks Given: 2,442
Thanks Received: 5,863


mattygoal View Post
That sounds complicated I do options on the AEX, mostly spreads. Why do you use the AEX if I may ask? (I am just a beginner)

It is complicated, it's very heavy real-time math lifting...
I have it running on both AEX and FDAX.

I trade AEX and FDAX futures and also options.

Follow me on Twitter Visit my NexusFi Trade Journal Started this thread Reply With Quote
  #7 (permalink)
Trusty Jules
Brussels, Belgium
 
Posts: 3 since Aug 2017
Thanks Given: 0
Thanks Received: 1


rleplae View Post
It is complicated, it's very heavy real-time math lifting...
I have it running on both AEX and FDAX.

I trade AEX and FDAX futures and also options.

I do spreads on the Aex as well - I didnt notice the issue with the lockstepping although my datavendor isnt giving me the VAEX data anymore. I now look at it through through the IEX site. Unfortunately being new I cannot post the link but if you search for VAEX IEX in google you will get sent straight to it.

Reply With Quote




Last Updated on August 28, 2017


© 2024 NexusFi™, s.a., All Rights Reserved.
Av Ricardo J. Alfaro, Century Tower, Panama City, Panama, Ph: +507 833-9432 (Panama and Intl), +1 888-312-3001 (USA and Canada)
All information is for educational use only and is not investment advice. There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
About Us - Contact Us - Site Rules, Acceptable Use, and Terms and Conditions - Privacy Policy - Downloads - Top
no new posts