It looks like VIX is having a strong momentum. There is also an increasing gap (I guess it's called backwardation) between VIX and VXX. Check it out on the chart below:
http://stockcharts.com/h-sc/ui?s=$VIX&p=D&yr=1&mn=0&dy=0&id=p58240499286
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trying to garher some courage and do an iron condor on Monday
I truly hope you're not making a play that depends on VXX surpassing VIX.
The chart in black, I posted above illustrates VXX since 2004, if you must get long a VIX derivative, I guess ya gotta do what ya gotta do, just not one that's based on that index.
VXX being above/below VIX is fully depenant on time fram.
Put the chart into a five year comparison, VXX is below VIX 100% of the time.
To me, trying to pinpoint a timeframe or a specific over/under valuation, is tantamount to using an MACD, which is nothing but a derivation of moving averages, which are ultimatley derivations of past performance.
In terms of VXX/VIX, the ONLY constant that past performance shows to be trusted is that VXX WILL trade below VIX valuation, the only loose variable is the length of time it takes to get below.
I don't see how charting the VIX makes sense. Charting the SPX makes more sense in my opinion in predicting where the VIX is going.
Looks like VIX is taking off?
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Simple, I think you you know my stance.
Almost any derivative you can trade VIX is based on futures, and roll decay is devastating.
IMO, the only play is inverse, for every $1 you gain you have to be concerned with a reversal that loses more than that $1.
Bottom line, being long means having to sweat taking the slightest gain, being short means you're assured at some future point the value will be greater.
To put that in perspective, this is a chart of the VXX underlying index from inception in 2004 with a chart of the VIX over the same time for comparison -
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Almost any derivative you can trade VIX is based on futures, and roll decay is devastating.
IMO, the only play is inverse, for every $1 you gain you have to be concerned with a reversal that loses more than that $1.
Bottom line, being long means having to sweat taking the slightest gain, being short means you're assured at some future point the value will be greater.
To put that in perspective, this is a chart of the VXX underlying index from inception in 2004 with a chart of the VIX over the same time for comparison -
-
Thanks incubus, I understand your point. (Just for information I bought a VXX call option today and already moved up 35%, VXX moved up 6.5%. I held another VXX option for a couple of days recently with similar gain. I have an indicator measuring the momentum of backwardation.)
I found this video very useful about trading VIX and VXX:
http://youtu.be/14NW4y99wkI
I found this video very useful about trading VIX and VXX:
http://youtu.be/14NW4y99wkI
The most important takeaway from the two charts above, from 2004-2007, even though the VIX traded relatively sideways, VXX yielded massive losses from term structure.
I watch CBOE and do the quick math between 1 & 2, but an indicator with historic charting would be da bomb.
Were you referring to the option, or you literally have an indicator to track term structure?SimpleTrades said:I have an indicator measuring the momentum of backwardation.)
I watch CBOE and do the quick math between 1 & 2, but an indicator with historic charting would be da bomb.
Sorry incubus, I just noticed your post here. My indicator is similar to MACD, positive if VIX is leading and negative if VIX is lagging, very simple. I also keep an eye of the slope of this indicator.
Finally VXX (and VIX) broke out of a short term consolidation. I am trying to figure out my target this weekend and sell my call option next week with a contingent order ( 66% gain today):
VXX is trying to "catch up":
Finally VXX (and VIX) broke out of a short term consolidation. I am trying to figure out my target this weekend and sell my call option next week with a contingent order ( 66% gain today):
VXX is trying to "catch up":
trying to garher some courage and do an iron condor on Monday
SimpleTrades said: Sorry here is the chart:
http://stockcharts.com/h-sc/ui?s=$VIX&p=60&b=5&g=0&id=p15193488293
I truly hope you're not making a play that depends on VXX surpassing VIX.
The chart in black, I posted above illustrates VXX since 2004, if you must get long a VIX derivative, I guess ya gotta do what ya gotta do, just not one that's based on that index.
VXX being above/below VIX is fully depenant on time fram.
Put the chart into a five year comparison, VXX is below VIX 100% of the time.
No, that would be the point when I would exit the trade. VIX should be ahead of VXX to make this trade profitable. Another important thing is that how far VIX is from its 10 dma (see the chart). Normally VIX stays within 10% of it's 10 dma. If VIX gets too far from its 10 dma that would be a good time to exit the trade too (and enter the trade when VIX sits on the 10 dma)
You missed my point, VXX trades with a lower Beta to the VIX, though in rare occasions it can be ahead of VIX over a 5 or 30 day period, it will always be below it over longer periods.SimpleTrades said: No, that would be the point when I would exit the trade. VIX should be ahead of VXX to make this trade profitable. Another important thing is that how far VIX is from its 10 dma (see the chart). Normally VIX stays within 10% of it's 10 dma. If VIX gets too far from its 10 dma that would be a good time to exit the trade too (and enter the trade when VIX sits on the 10 dma)
To me, trying to pinpoint a timeframe or a specific over/under valuation, is tantamount to using an MACD, which is nothing but a derivation of moving averages, which are ultimatley derivations of past performance.
In terms of VXX/VIX, the ONLY constant that past performance shows to be trusted is that VXX WILL trade below VIX valuation, the only loose variable is the length of time it takes to get below.
OBV(On Balance Volume) Indicator is not considered a lagging indicator by me... You still are waiting on confirmation of a trend to make sure by looking at the slope or angle of the trend... but... you can get a head start by wrapping a bollinger band around it and look for narrowing of bands or expansion on the bollinger upper and lower bands.... as well as looking for OBV values outside of the upper and lower bands....
This is by far one of my most successful gauges that I use in Bots... One needs to look at multiple time frames. I did not show my charts.... I used a freestockcharts that is common off the shelf.
This is by far one of my most successful gauges that I use in Bots... One needs to look at multiple time frames. I did not show my charts.... I used a freestockcharts that is common off the shelf.
Here is a weekly chart of VIX. You can see MACD crossover and Aroon up is 100 below the chart. As you can see Aroon was up to this level only 3 times before since 2009.
Well, the charts are at least asthetic, I like all the colors & patterns.
I don't see how charting the VIX makes sense. Charting the SPX makes more sense in my opinion in predicting where the VIX is going.
VXX Short Term Futures is in an extreme oversold position and it's relative easy to determine on the Daily chart... The 30 minute chart is current at it's weak Stop or Reversal.....
Here's how I follow the silly little candle sticks...
Here's how I follow the silly little candle sticks...
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