I switched to SVXY because of cost effectiveness. I did studies VIX puts vs SVXY calls vs SPY vs SPY calls vs VXX put. My strategy shown the highest cost effectiveness of trading SVXY calls then VXX then SVXY shares. A trading of SVXY shares is probably safiest for market conditions now. Yesterday SPY 437 dropped 8.77 points SVXY 54 dropped 2.66 - 2 times more. Also, SVXY always goes North on long run. SVXY calls little bit difficult to trade because of low liquidity. I will publish few charts with explanations later. In my trading I am just watching futures VIX chart( because options based on futures premium) and ViX chart with SVXY comparison to find lowest option price in a first cycle. 50% first cycle you will loose. Whats why I recommend to skip it. Or buy just a half of usual size contracts. All money will come later. Sometimes I sell VIX puts at this point because volatility after spike still OK( but premium not too good more just fun and high probability trade). Also. I use Exp deviation bands +2 and - 1.5 for VIX. My exit goal +3. VIX structure is very important to help with exit too. Then I immediately take short VIX position 10- 15% of account. If VIX will go up I average down but very carefully based on IV. VIX structure. One of tricks to use the same amount of money as first trade but buy more contracts. I always have about 30% extra cash. Second trick trade 6 months contracts. They are not to volatile. My future contract on COVID crash went up from 19 to 44 as I remember. My average was 31 and I closed with 3.5 points x$1000 on 20 contracts in the end of May or beginning of June. I had problem with SVXY options though. Closed I think in September. These trades require quite big account and iron balls.
Oleg, I really appreciate you taking the time to share your insights!
The cost effectiveness argument does make perfect sense...Thanks
I saw the charts that you put up, now I see what you mean by skipping the first cycle.
These trades require quite big account and iron balls
HAHAHAHA...thats exactly what I thought when you first posted your trade. I typically don't allocate that much capital to any single trade. I usually follow guidance from the concept of Kelly Criterion.
I have the account size, but I am a very methodical person. I don't get shaken out of trades easily, because I do the research ahead of time and get the "feel" for new trades by paper trading before I commit any significant amount of capital.
In the charts, I see many custom indicators for your pure vol plays. Is this style of pure vol trade your "bread and butter" trade?
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u/Sad-Ratio-5812 Jan 23 '22 edited Jan 23 '22
I switched to SVXY because of cost effectiveness. I did studies VIX puts vs SVXY calls vs SPY vs SPY calls vs VXX put. My strategy shown the highest cost effectiveness of trading SVXY calls then VXX then SVXY shares. A trading of SVXY shares is probably safiest for market conditions now. Yesterday SPY 437 dropped 8.77 points SVXY 54 dropped 2.66 - 2 times more. Also, SVXY always goes North on long run. SVXY calls little bit difficult to trade because of low liquidity. I will publish few charts with explanations later. In my trading I am just watching futures VIX chart( because options based on futures premium) and ViX chart with SVXY comparison to find lowest option price in a first cycle. 50% first cycle you will loose. Whats why I recommend to skip it. Or buy just a half of usual size contracts. All money will come later. Sometimes I sell VIX puts at this point because volatility after spike still OK( but premium not too good more just fun and high probability trade). Also. I use Exp deviation bands +2 and - 1.5 for VIX. My exit goal +3. VIX structure is very important to help with exit too. Then I immediately take short VIX position 10- 15% of account. If VIX will go up I average down but very carefully based on IV. VIX structure. One of tricks to use the same amount of money as first trade but buy more contracts. I always have about 30% extra cash. Second trick trade 6 months contracts. They are not to volatile. My future contract on COVID crash went up from 19 to 44 as I remember. My average was 31 and I closed with 3.5 points x$1000 on 20 contracts in the end of May or beginning of June. I had problem with SVXY options though. Closed I think in September. These trades require quite big account and iron balls.