VIX 4 Trading - 1Q15

littletiger

The purpose of this post is to
1. Test real live trading on VIX products such as UVXY and XIV. (They are very dangerous trading vehicles but use your own discretion if you are following.)
2. Provide critical thinking on how to trade them.

I will test it for one quarter first and decide what to do next. The frequency of the signal ranges from few hours to days. and I will test the methods on ~$50K with margin account.

补充内容 (2014-12-30 12:54 PM):
Ruel #1. Hard Stop loss at 12%

littletiger

Page for Basic Rules:
1. VIX ranges: In our current 12-20 VIX cycle range the pivot point is ~ VIX 15.

littletiger

VIX historical Range

novice_trader

littletiger

40% position; might sell them at profit by EOD.

12/31/2014  Buy 600 Shares of XIV Limit at $33.88 (Day)   Filled at $33.88  
$20,328.00


补充内容 (2014-12-31 12:51 PM):

Action
Buy

Quantity
450 Shares  

Route
FDLM

Order Type
Limit at $32.78  

Time in Force
Good 'til Canceled

Order Expiration
06/29/2015 04:00 PM ET  

Send Expiration Alert
No Alert  

Cond...

补充内容 (2014-12-31 12:53 PM):
Average price of $33.4 for 1000 XIV. Stop loss $29.8;
exit
1. today at profit because if VIX up today; higher prob VIX up in the next trading day
2. or wait for the exit signal

littletiger

5min buying point

littletiger

VIX ends 19.5; 50% Fib. next possible target: 21-22-24.
Trading Rule#2, Buy and Hold when VIX is above 20 then prey!
Instead of stop loss; the last/3rd XIV purchase for the rest of $20k is around $28.8 or break even out.

xmbbs

看过这个吗？不知道你会有啥感想。

http://seekingalpha.com/instablo ... 5-new-svxy-strategy

littletiger

XIV in 2011 July and Aug.

Since XIV started trading from 2010, the biggest drop of XIV that has ever suffered so far is during the 2011 July to Oct -- the euro zone crisis. Here, it is a review what has happened and what we can learn from it.

The following chat is the XIV in 60min in July - to show XIV's topping pattern. On July.7th, XIV sits slightly above $19 then in 6 days it drops by almost 20% to below $16. Such a 20% drop is not uncommon for XIV correction. And it starts to rally for 4 days just above $18. Then it drops again by 4 days to a lower low to $15 followed by a much weaker rally without even toughing $17 on Aug.1st.


The key point is that XIV on 60min makes a lower high and lower low, indicating a clear downtrend. Afterwards, XIV drops quickly by 40% in 8 days from $16 to just above $9.

The corrective move is very weak, XIV can barely come back to $10 before it starts dropping again till $5 on Oct 5th. The last pull back although it is as severe as the 2nd, it takes much longer time (almost 2 months as opposed to 8 days). And XIV has made a series of lower high and lower low that can help identifying the whether the downtrend is still on.









Now take a snapshot of XIV in Jan. 2015. It looks strikingly similar. Lower high and lower low. The only difference is that XIV has not dropped precipitously as what happened in Aug.2011 yet. Maybe history will repeat maybe not. Let's see and stay tuned.

littletiger

xmbbs 发表于 2015-1-2 03:39 PM
看过这个吗？不知道你会有啥感想。

http://seekingalpha.com/instablog/5806521-macro-investor/3028385 ...

I've read it for more than 10 times. You may know that its 2014 performance is below -40%.

trading XIV/VXX is never an easy job.  

littletiger

littletiger 发表于 2015-1-19 06:57 PM
XIV in 2011 July and Aug.

Since XIV started trading from 2010, the biggest drop of XIV that has e ...

it means, I will pause the XIV trading for a while and wait-and-see.

xmbbs

看看周四吧，欧洲QE了，vix应该会降。

bigbadwolf

littletiger 发表于 2015-1-19 07:00 PM
it means, I will pause the XIV trading for a while and wait-and-see.

VIX may stay at high level for a few days or longer. The EuroZone QE outcome and Greek election and next government's policy to balance budget and debt reduction will cause risk aversion.

Also further prolong drop of oil price will cause financial crisis.

littletiger

That is what I am thinking. The machine did not care and issued a new short on UVXY today.

given its great performance in 2013-2014; I have to stick to it.

Note that the machine moves faster than me. the Short can be covered any time if there is any big jump in UVXY.

littletiger

The strategy could be further improved if those small loss trades can be avoided. But I could not fix. Anyone has comment on it?

恒一

littletiger 发表于 2015-1-20 11:25 PM
The strategy could be further improved if those small loss trades can be avoided. But I could not fi ...

俺在本季度基金比赛做了很多uvxy的短炒。两个半星期有60%的回报。

littletiger

版主, share some thoughts on trading UVXY?

恒一

littletiger 发表于 2015-1-21 10:34 AM
版主, share some thoughts on trading UVXY?

You look at the 1min, 2min and 5min charts for numerous times to find out its patterns.

xmbbs

恒一 发表于 2015-1-21 10:15 AM
俺在本季度基金比赛做了很多uvxy的短炒。两个半星期有60%的回报。

回报高是一回事儿，赚多少钱是另外一回事儿。我估计大家都不敢重仓空吧，要不然疯起来很快就外婆了