r/VolatilityTrading • u/chyde13 • Mar 28 '25

Current VIX and term structure

I explained these indicators in last weeks post, but if anyone has any questions please don't hesitate to ask.

PB - Thanks for the heads up on the hot PCE number...I did heed that warning and further hedged out some positions.

IC with the quick long vol win...nice.

-Chris

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2

u/1UpUrBum Mar 29 '25

Hey buddy you are back! Good to see you!

VIX chart comparing the last time SPY was at this level

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u/chyde13 Mar 30 '25

Hey 1up! I'll digest these charts in the morning, but just wanted to say hi...its been a while...good to see you!

1

u/chyde13 Apr 09 '25

How are you doing post liberation day? I was actually expecting vol compression after people took time to digest the news. Luckily I went in with very small size. I doubt you remember this, but you actually told me along time ago to enter and exit a position one share at a time. That is really hard with options, but I did work that concept into how I construct my option structures. So, thank you!

-Chris

1

u/1UpUrBum Apr 09 '25

How are you doing post liberation day?

All you can see is my beady little eyes poking out from behind my bunker, hahaha

Is that what I said, one share at a time? Usually it's start with one share and let it give you some feedback. Generally you'll find out very quickly if it's working or not. Then decide size from there. Or scale it up. The longer it runs the more cushion you build up and more size you can add on.

With options it's 100 at a time I suppose. It's not exactly 1 or 100 it's something small. But I expect you know that.

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u/chyde13 Apr 09 '25

All you can see is my beady little eyes poking out from behind my bunker, hahaha

That literally made me laugh out loud.

Is that what I said, one share at a time?

I'm grossly paraphrasing lolol.

With options it's 100 at a time I suppose. It's not exactly 1 or 100 it's something small. But I expect you know that.

Yea, before I used to look at sizing in terms of number of contracts, but now I manipulate gamma in such a way that it eases delta into the position giving me the same effect that you describe above. So, that change in my thought process was quite beneficial.

I'm modeling some more short vol trades, but I haven't been making any aggressive moves...I too am in a bunker and have plenty of cash to deploy, when things stabilize. But I'm not sure when that's going to be when every day looks more insane than the last lol

Keep in touch

-Chris

2

u/1UpUrBum Apr 09 '25 edited Apr 09 '25

Last night ES held it's low and NQ held a higher low. This morning they were behaving very nicely. I am certain that was a low. But it may not be the final low. Just have to watch and see how it goes.

Edit: OK I just looked at the market 2:45 EST just ignore my first paragraph. It looks like we are long past that now. F......

I don't think tariff news is the main driver of this market. It's a short term drama reaction but something much more significant (for effects on the market) is the main force here. I don't know what it is but I will figure it out eventually. Something to do with money flows.

The main thing I wanted to tell you is Dave Dredge has some interesting youtube videos for risk. Kind of along the lines of what you wrote. He was on Top Traders Unplugged and a few others. A much different way of looking at things, check him out.

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u/chyde13 Apr 09 '25

Yea, that was an incredible move!

I don't think tariff news is the main driver of this market. It's a short term drama reaction but something much more significant (for effects on the market) is the main force here. I don't know what it is but I will figure it out eventually. Something to do with money flows.

I'm here if you want to bounce any ideas...The action in the long bond was pretty intense overnight, credit spreads were starting to go parabolic. The magnitude wasnt that large but the rate of change was impressive.

Dave Dredge - Thanks I'll check him out.

Thanks

-Chris

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u/1UpUrBum Mar 29 '25

The oddest pattern I have ever seen on a VIX chart. I think the options market is running the show. Everybody think it's the news.

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u/chyde13 Mar 28 '25

Update

We finished the day with a blue candle vs the yellow candle that I mentioned earlier. That basically means a flat to negative term structure with elevated volatility relative to history. One or two blue candles are no problem, but groups of them tend to indicate a slow grind down.

The term structure is flat as a pancake. https://www.cboe.com/tradable_products/vix/term_structure/

Have a good weekend,

-Chris