NexusFi: Find Your Edge


Home Menu

 





VIX ETF/ETN


Discussion in Stocks and ETFs

Updated
      Top Posters
    1. looks_one Limitless100 with 5 posts (3 thanks)
    2. looks_two isla with 3 posts (2 thanks)
    3. looks_3 Underexposed with 3 posts (2 thanks)
    4. looks_4 Silvester17 with 2 posts (7 thanks)
      Best Posters
    1. looks_one Silvester17 with 3.5 thanks per post
    2. looks_two Cogito ergo sum with 3 thanks per post
    3. looks_3 josh with 2 thanks per post
    4. looks_4 Limitless100 with 0.6 thanks per post
    1. trending_up 4,069 views
    2. thumb_up 22 thanks given
    3. group 8 followers
    1. forum 19 posts
    2. attach_file 5 attachments




 
Search this Thread

VIX ETF/ETN

  #1 (permalink)
 isla 
Kyiv/Ukraine
 
Experience: Intermediate
Platform: NinjaTrader
Broker: AMP/CQG
Trading: Indexes, CL
Posts: 114 since Jun 2012
Thanks Given: 79
Thanks Received: 174

Hello

I would like to find out what is a good instrument to day trade VIX on the short side. I found information that iPath S&P 500 VIX Short-Term Futures ETN (ARCA:VXX) is the most widely traded VIX product (not sure how compared to the futures), but can you short it? Also there is an inverse iPath Inverse S&P 500 VIX Short-Term ETN (ARCA:XXV).

Does anyone have any experience day trading any of these and if so, with what broker? Interactive Brokers has both, but are there any limitations to the duration or frequency of trades?

I only have experience with futures and don't know much about trading ETFs/ETNs so will appreciate any advise.

Thank you

Started this thread Reply With Quote
Thanked by:

Can you help answer these questions
from other members on NexusFi?
Futures True Range Report
The Elite Circle
ZombieSqueeze
Platforms and Indicators
Deepmoney LLM
Elite Quantitative GenAI/LLM
NexusFi Journal Challenge - April 2024
Feedback and Announcements
New Micros: Ultra 10-Year & Ultra T-Bond -- Live Now
Treasury Notes and Bonds
 
Best Threads (Most Thanked)
in the last 7 days on NexusFi
Get funded firms 2023/2024 - Any recommendations or word …
61 thanks
Funded Trader platforms
39 thanks
NexusFi site changelog and issues/problem reporting
26 thanks
Battlestations: Show us your trading desks!
26 thanks
The Program
18 thanks
  #3 (permalink)
 
josh's Avatar
 josh 
Georgia, US
Legendary Market Wizard
 
Experience: None
Platform: SC
Broker: Denali+Rithmic
Trading: ES, NQ, YM
Posts: 6,216 since Jan 2011
Thanks Given: 6,752
Thanks Received: 18,136


@isla, I just saw this thread and I know it's been a few months but thought I'd respond. I trade VXX and yes, you can short it, but sometimes it is hard to borrow and you have to locate it.

Reply With Quote
Thanked by:
  #4 (permalink)
 isla 
Kyiv/Ukraine
 
Experience: Intermediate
Platform: NinjaTrader
Broker: AMP/CQG
Trading: Indexes, CL
Posts: 114 since Jun 2012
Thanks Given: 79
Thanks Received: 174

Thanks for reply, josh!

Would you be so kind to post a screenshot of its depth? How thick is it normally in no-news environment?

Started this thread Reply With Quote
  #5 (permalink)
 
josh's Avatar
 josh 
Georgia, US
Legendary Market Wizard
 
Experience: None
Platform: SC
Broker: Denali+Rithmic
Trading: ES, NQ, YM
Posts: 6,216 since Jan 2011
Thanks Given: 6,752
Thanks Received: 18,136


isla View Post
Thanks for reply, josh!

Would you be so kind to post a screenshot of its depth? How thick is it normally in no-news environment?

Aggregate view below--ARCA not included in these numbers because of some data experimentation I'm doing, so you can multiply these numbers by about 2. It is very thick, about half SPY daily volume and usually a penny or two thick. It acts up and loves to take nice .30 plunges every now and then but of course you would expect it to.


Reply With Quote
Thanked by:
  #6 (permalink)
 
Silvester17's Avatar
 Silvester17 
Columbus, OH
Market Wizard
 
Experience: None
Platform: NT 8, TOS
Trading: ES
Posts: 3,603 since Aug 2009
Thanks Given: 5,139
Thanks Received: 11,527

@isla

here's a list with volatility etf's. the good thing is, when you click on a etf in that list, you can compare it to another etf. cool feature

Top 10 [AUTOLINK]Volatility[/AUTOLINK] ETFs

I like the xiv as an inverse option. it has decent volume. looks like this (of course now it's after the close):


Reply With Quote
Thanked by:
  #7 (permalink)
 isla 
Kyiv/Ukraine
 
Experience: Intermediate
Platform: NinjaTrader
Broker: AMP/CQG
Trading: Indexes, CL
Posts: 114 since Jun 2012
Thanks Given: 79
Thanks Received: 174

I thought that VIX or VXX roughly represents perceived volatility in near future independent of market direction. But the more I watch it, the more often it seems to be just moving opposite to ES (selling off when ES rallies and vice versa).

Historically implied volatility increases in bear markets. As far as I know, there is no agreement on what causes what (plunge in prices requires larger risk premium by investors, or volatility/bad news causes more volatility). But if we look at volatility as just a rate of change in price, why should direction matter? Can this inverse relation be explained by where we are in a bigger picture? Because we went up so much, the downside risk is more important? Did anyone watch VIX intra-day in 2009 when stocks were bottoming out?

I understand this question may get quite complicated, depending on degree of detail, so if anyone can suggest a good online resource it'll be greatly appreciated.

Started this thread Reply With Quote
Thanked by:
  #8 (permalink)
 
Silvester17's Avatar
 Silvester17 
Columbus, OH
Market Wizard
 
Experience: None
Platform: NT 8, TOS
Trading: ES
Posts: 3,603 since Aug 2009
Thanks Given: 5,139
Thanks Received: 11,527


isla View Post
I thought that VIX or VXX roughly represents perceived volatility in near future independent of market direction. But the more I watch it, the more often it seems to be just moving opposite to ES (selling off when ES rallies and vice versa).

Historically implied volatility increases in bear markets. As far as I know, there is no agreement on what causes what (plunge in prices requires larger risk premium by investors, or volatility/bad news causes more volatility). But if we look at volatility as just a rate of change in price, why should direction matter? Can this inverse relation be explained by where we are in a bigger picture? Because we went up so much, the downside risk is more important? Did anyone watch VIX intra-day in 2009 when stocks were bottoming out?

I understand this question may get quite complicated, depending on degree of detail, so if anyone can suggest a good online resource it'll be greatly appreciated.

in short the vix is also called "fear" index. the higher the vix, the more "fear" is in the market. but I like to mention that a very low vix can also be a bearish sign. because everybody is bullish and therefore long

a good read is from the cboe. it describes also the year 2009

https://www.cboe.com/micro/VIX/TheVixRealityCheckMay10.pdf

Reply With Quote
Thanked by:
  #9 (permalink)
Limitless100
New York, New York
 
Posts: 97 since May 2014
Thanks Given: 163
Thanks Received: 61

I personally work with the VXX. I like the way it moves along with it's daily volume. It definitely can move fast though, so I wouldn't recommend being totally lax about your trading!

Reply With Quote
Thanked by:
  #10 (permalink)
 
Cogito ergo sum's Avatar
 Cogito ergo sum 
Amsterdam
 
Experience: None
Platform: QuickStrike, CTS
Trading: Derivatives
Posts: 195 since Jul 2010
Thanks Given: 227
Thanks Received: 214


Even though the VIX and VXX appear to be similar products, they are in fact quite different. Make sure to thoroughly understand each product before you buy or sell it.

For example:

The VXX is an exchange-traded note ("ETN") based on The S&P 500 VIX Short-Term Futures Index, which is designed to provide access to equity market volatility through CBOE Volatility Index ("VIX") futures. Specifically, the S&P 500 VIX Short-Term Futures Index offers exposure to a daily rolling long position in the first and second month of VIX futures contracts and reflects the implied volatility of the S&P 500 Index one month later. The index futures roll continuously throughout each month from the first month of the VIX futures contract into the second month of the contract.

<-- VXX has drag, price moves are dependent on both the first and second month futures.

I personally don't like to outright short the VIX Index or /VX futures . Mainly because it has an embedded asymmetric risk vs reward relationship with a price floor present

Thankfully we have other derivatives to reduce overall risk with the use of other volatility products. With that said there are interesting opportunities to trade volatility as an asset class. With these products just make sure that you know what you are doing and what you are getting yourself into

Reply With Quote
Thanked by:




Last Updated on March 23, 2015


© 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