iPath Series B S&P 500 VIX Short-Term Futures ETNArca
설명
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Yesterday I've played an alternative VIX instrument. I've tired to searching good ROI or P/L rates at VIX $20 VIX support, so I've searched some alternative, but VIX related instrument.
Lets see what can give us this BARCLAYS BANK VIX Short ETN (=VXX)
(1) Yearly support + incoming buy volume
The lowerst value of the previous year was $13. In the past month significant buy volume arrieved.
Combined this two reason could lead into sidewalking or bounceback from this level.
VXX is a Trust, so we see volume displayed (unlinke in the case of the VIX)
(2) VIX play ROI vs VXX ROI
You could see VXX like an ETN alternatative of the VIX. Same dates for big edges, and melting down between the big edges.
Compared this two instument's ROI: the conclusion is obvious.
VXX ROI at support $13 for April with vertical spread: 37/63 = 58% VIX ROI at support $20 for April with vertical spread: 20/80 = 25%
CONCLUSION
I'm buying a few call spreads for April, because the IVR not so high.
I think this is a very good P/L rate with a very high probability of profit!
Target: ............. 52%
Max profit: ...... $111
Max loss: ......... $189
IVR: ................... 20
POP: .................. 65%
Expiry: .............. 44days
Strategy: long call vertical spread (average IVR)
Sell 3 VXX April 16' $13 call
Buy 3 VXX April 16' $12 call
Stop: Closing immediately if daily candle is closing below $13. Take profit strategy: I'm taking at the 65% of max.profit in this case.
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코멘트
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We've arrived in a danger territory, keeping my eyes at 13$ all time low level. I'm expecting some bounce at least for the next few days. This could be a good opportunity to exit this setup in profit. Let's see.
코멘트
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Hope back on this setup. See that bounceback at the all time low level 13$ support:
액티브 트레이드
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I've doubled my position with vertical spreads. Now 50/50 the P/L rate.
good luck. why you bet on VIX short term (VXX) while fundamentally Fed needs to change the long term VIX? this is one of the time I say knowing fundamental will be better than looking at the chart because this chart is not like a stock chart at all
SLOPolarBear
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I trade volatility on occasion, usually when it's printing VERY clear price action patterns that I would normally see on standard stock/index charts. If I were buying and selling the VXX, I would not be looking at its price action and volume as much as I would be examining the VIX itself. VXX is a derivative asset; it tries to emulate the VIX but often its action is distorted because of supply/demand for the VXX itself (which is completely independent of the VIX).
I recommend trying out a chart with 3 standard dev (45 period) Bollinger Bands and using the bands themselves to determine the dominant trend lines. When VIX is heating up, it will print very clear trends, and you should obediently close your position when they break. Which often means setting up market stops when it's flying upwards. Hope this helps! Note the negative channel we're inside of right now despite the 'pops' in volatility. I think a lot of these pops are simply a product of the fact that we're at the anniversary of the pandemic and the market 'looks' a lot like it did a year ago, despite the fact that things are very different today.
SLOPolarBear
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@SLOPolarBear, I also never open up a position in volatility unless the price action is at the very bottom of those bands. It puts me in a corner just in case the pattern fails rapidly. I have an exit, albeit a short one. Cheers!
You might get lucky and hit the correct window of time for the volatility. Your profits will be great. otherwise, going for vxx is losing money compared to the vix. There's no free lunch on wall street.
ezmonkey
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@ezmonkey, And it seems you bought it at the right time. Vix up 18%, Vxx up 7%
TanukiTrade
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@ezmonkey, "trade and pray"--- noway, just kidding :D Thank you for the appreciative words. Feel free to follow me on tradingview for any option trade analysis in the future
TanukiTrade
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@ezmonkey, absolutely, in options world that's why I'm melting down this spread for credit in time.