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Using OVX to help CL Daytreading:
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Using OVX to help CL Daytreading:

  #1 (permalink)
Trading Apprentice
Shreveport+Louisiana/United States of America
 
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Using OVX to help CL Daytreading:

Would appreciate a bit of help from someone with experience using OVX to day trade CL futures. Been getting hammered by failed breaks/stop runs and of course the opposite of setting a fade at support/resistance get runover by a breakout.

In another chat room I frequent the moderator talks about using the OVX as a screening tool. If OVX is flat or trending down then breakouts are suspect. If OVX is trending up then trading ranges are more susceptible to breakouts. Makes sense I guess.

Been using that as a trade screen this week, seems to help me avoid being on the wrong side of many a fake breaks and real breaks (actually no breakouts this week, and OVX is way low due to lack of news?).

Also I overlaid the CL on an OVX chart and for every time frame (Daily, 60 min, 5 min, 1 min) the two seem to generally trade inverse of each other. So when CL is trending up or consolidating OVX trends down. When CL declines OVX generally seems to increase. Been working on that as an additional screen.

Can't find much online about using OVX for day trading CL futures. Some of what I have found is dead wrong. One article from Trader's Lab said that CL traded in lockstep with OVX. Charts don't seem to support that analysis. I'd be much obliged if any of you who are experienced with the OVX would tell me if I'm making any sense, using it correctly as a trade screen for both the likely hood of breakouts/breakfailures and direction screen. Also any other observations you folks have about using the OVX daytrading CL futures would be very helpful.

Thanks guys/gals.

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  #3 (permalink)
Trading Apprentice
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Screens Out a Lot of Trades


Well, it does screen out a lot of trades. A good bit of them would have paid but the loss rate of the screened out trades would be a killer. Well, I was overtrading anyway so that's progress. Any ideas on OVX for day trading CL are greatly appreciated.

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  #4 (permalink)
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overlay

I have been tinkering with OVX and the CL for past couple of months. I am interested in seeing what you have so far and would like to over this idea.

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  #5 (permalink)
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I trade the ES with continuous reference to the classical VIX index.
I believe same technique could be used for CL too... You are giving me some ideas here
I will try and see if the relationship works the same for oil.

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  #6 (permalink)
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I like the idea however you might want to consider that: "The CBOE Crude Oil ETF Volatility Index ("Oil VIX", Ticker - OVX) measures the market's expectation of 30-day volatility of crude oil prices by applying the VIX® methodology to United States Oil Fund, LP (Ticker - USO) options spanning a wide range of strike prices." ( Whitepaper on the methodology: http://www.cboe.com/micro/VIX/vixwhite.pdf )

Even though the correlation between the /CL and USO will be high ~.90 they are not the same underlying. Divergences on a larger timeframe are likely to occur. I would personally be more inclined to watch the implied volatility changes in the /CL options rather than the OVX . However, I don't know if that would aid your objective as I don't trade the /CL


Last edited by Cogito ergo sum; October 22nd, 2013 at 09:09 PM. Reason: grammar
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  #7 (permalink)
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@Fadi any luck with this endeavour?
I have been playing with OVX - Crude, SIV - Soybeans and TYVIX - 10-year note and they don't work in the same way...

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ElChacal View Post
@Fadi any luck with this endeavour?
I have been playing with OVX - Crude, SIV - Soybeans and TYVIX - 10-year note and they don't work in the same way...

I don't know about that
I do not trade crude, soybeans, and 10 years note with reference to their corresponding volatility index; sorry.

For ES, it works for me.
But obviously, VIX is just a signal among many others to help me judge my trades.

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