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A VIX product shorting algo (quick just for a buddy)the yellow line is the RSI,14 of the VWAP of VXX The other two lines are related to: VWAP of VIX futures price minus the VIX spot price . So the volume weighted premium of the near term futures (I think). Green is the long (50 day) moving average of the RSI of the above value. Pink is this: short_ma = sma(((v_rsi - 50) * 1.5) + 50, 30) -- and to be honest I have no idea what I was thinking here, 50 is the mid line on the RSI oscillator... idk Anyway, it shorts when the yellow line is >60 AND the green line is above the pink line and just closes when the pink crosses back over the green and the RSI is < 50
CBOE:VXX
by MindsForge
THE VXX PLAY (I WANTED TO PUT ON FOR THE "FOMC POP")When we had our first rate hike in umpteen million years in December, I had a play like this on for a GTC fill to fade any volatility spike we might have in response to that. Of course, it never came ... . But thanks in large part to Chinese markets, I've now got that spike and will fade it here if I get the chance. Here's the setup: VXX Feb 19th 16/17 long put spread (the 16 is the short, the 17 the long) Probability of Profit: 16% Max Profit: $93/contract Buying Power Effect: $7 per contract (at the mid price) (will that be around on Monday? Who knows?) Break Even: 16.93 Naturally, this is a total longshot setup at the outset. However, the idea is not to expect price to break $16.93 (that would be a "glory shot"), but rather to take it off at, for example, 50% of max profit.
CBOE:VXXShort
by NaughtyPines
Long VVX Short PlayAll I care about here is that green dotted resistance line. Once we can get a 30 mn candlestick to close above that line then we can setup a long trade. If the candle never closes above I don't to trade it. Heres why I think this has a chance at rallying. 1) Closed red on the year just a few days ago, first time in a long time. 2) Sentiment in market is fearful, thats why you see the VXX reatracing not selling off . 3) Continuation Flag pattern here 4) Fading Volume in the downtrend (weakness + trend reversal clue) 5) A lot of support at 20.50 Keep a tight stop below whatever market structure is created tommorow. But once again, we don't want to go long unless we close above/ violate that green dotted resistance line.
CBOE:VXXLong
by YusufS
A VXX SHORT SETUPI virtually never short a VIX product. I am, after all, largely a premium seller and, as such, am already short volatility in the vast majority of my setups. So, by shorting a VIX product, I'd basically be "piling on" to what I already do. I also virtually never do debit spreads ... . However, with FOMC next week, I thought I would at least consider taking a VXX short position that takes advantage of any spike in volatility that occurs, since this is basically a one-off event. I mean when is the next time we're likely to see the Fed raising interest rates after six years of QE, TARP, and ZIRP? Well, hopefully never, but quite possibly not again for a couple of decades, at least. So, let's get to it. I actually looked at a wide variety of setups that take into account the fact that I am not going to be hovering over my keyboard in the days and hours leading up to FOMC and the days and hours thereafter waiting to pull the trigger on a VXX short when I "think" it has peaked ... . This "peak" can be incredibly fleeting, not to mention that my luck with "calling tops" is about the same as that of everyone else -- pretty darn poor. In any event, I want to attempt to take advantage of a VXX spike (1) without knowing in particular how high it will potentially go; (2) knowing that volatility will inevitably contract at some point in the future to a point below 20; and (3) all while defining my maximum risk. Here's the setup to do just that -- a long put vertical. As an example: Jan 15 VXX 19/21 Long Put Vertical (The 19 is the short; the 21 the long). Currently, the mid price for this setup is a .79 debit, and that is with the price of the underlying at 23.32, but I do not want a fill at this price. When and if price spikes, the cost to fill this particular spread will decrease and the spread will become cheaper to put on. The kind of "cheap" I am looking for is something in the vicinity of .07-.13 for the spread, but for simplicity's sake, I am going to put on a GTC order for the spread to be filled if VXX spikes, resulting in the spread's costing .10 to fill. If I do get a fill for .10, the break-even price of the setup becomes 20.90 (the price of the long strike minus the .10 debit) with a maximum profit potential of $190.00 (i.e., risking $10 to make $190). You can also naturally consider more accommodative setups that have a higher break even by moving the strikes up or use more than just one setup at different expiries that take advantage of a potential spike that is more and more profound (e.g., a Jan 15th 19/21 long put vertical for a .10 fill, a Jan 22nd 21/23 long put vertical for a .10 fill, a Jan 29th 23/25 long put vertical for a .10 fill, etc.). If you do multiple setups at different expiries, keep in mind the possibility that you may want to roll one or more of those setups if volatility doesn't contract in fairly short order (2-4 weeks), so you naturally don't want to go hog wild either with respect to the number of setups or the size of the number of contracts used in those setups ... .
CBOE:VXXShort
by NaughtyPines
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