International markets traders banter

[skc]

Dang, I was actually musing a long vol trade yesterday. Prev settlement of 14.55 is lowest settle since June 2007 (13.01)

Is VXX the only instrument to get exposure on the VIX? (Aside from reconstituting a Put on S&P500).

I've bought a few VXX future options before and you can get pretty good leverage despite pretty average spread. The problem was they only trade in US market hours and I like my beauty sleep.

 

[Trembling Hand]

If you are really adventurous there is a HSI vix. No trades, no volume, huge spread!!

http://www.reuters.com/article/2011/01/31/hangseng-volatilty-idUSTOE70U07G20110131

 

[sinner]

Is VXX the only instrument to get exposure on the VIX? (Aside from reconstituting a Put on S&P500).

A front month long ATM straddle is quite close. You can get them on ES so I assume they trade Globex hours. I have gained some experience with these now and like them, especially in regards to position sizing since the leverage is 'implicit' in the contract. mazza also mentioned variance swaps as the 'pure' instrument for use to me once but I haven't played with them. Bill Luby (from vixandmore) apparently prefers VIX fut calls but he does mention the straddle as the most liquid option and over the longer term more likely to trend than mean revert.

Good advice from him in this link on what is 'best' depending on the scenario (roll yield, length of trade, etc)

http://www.optionpundit.net/interviews/bill-luby-talks-to-optionpundit

EDIT: Oops almost forgot, in regards to roll yield etc you can fit VIX futs exposure nicely into a model like this
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1127213

 

[Trembling Hand]

Gee Taiwan and the Kospi really snuffed out that Monday morning rally.

 

[Timmy]

Got some liquidity-draining POMOs coming up today, then again on Thursday.
Unfriendly?

 

[MRC & Co]

This is about as quiet as it gets, even for Asia! Quiet before the storm it feels......but which way? I'm still bearish over coming few wks, but not quite as sure over next few days, wouldn't be overly surprised to see a real dash higher just to cause as much pain for potential shorts as possible.....

 

[notting]

Perhaps another sell off in the bond markets to remind the us all of the cost of being unable to pay interest on huge debts might be the trick!

 

[Uncle Festivus]

Bernanke saw that 'the market' was playing with his Treasury yields so had to do something, even though it was only rhetoric, at this stage anyway. Are we looking at some shorts going into the qtr close as they window dress? Long VIX and/or Short Dow anyone?? So tempting...the Dow is so out of align with everything??

 

[MRC & Co]

Yep, since Bernanke spoke last night, the broad based asset pump has come back to the fore, extending on into tonight so far also.

 

[notting]

Just heard that options that are used to hedge against S&P are at their highest level in 5 years!!!:goodnight

 

[CanOz]

Just heard that options that are used to hedge against S&P are at their highest level in 5 years!!!:goodnight

The markets just ignoring the internals....

 

[skyQuake]

Why wouldn't you? VIX at lowest in a long time, oppies are cheap!

I'm surprised IG has a tradable VIX. Might come in handy

 

[MRC & Co]

Yep, vol is very low which stacks up seasonally (in addition to the liquidity flush), but it seems intraday vol is still there, just not on a daily timeframe.

 

[Trembling Hand]

Yep, vol is very low which stacks up seasonally (in addition to the liquidity flush), but it seems intraday vol is still there, just not on a daily timeframe.

Come back to the dark side MRC :vader:

 

[skc]

Why wouldn't you? VIX at lowest in a long time, oppies are cheap!

I'm surprised IG has a tradable VIX. Might come in handy

I think that's just VXX (the ETF) with a bit more spread... but I could be wrong.

 

[Starcraftmazter]

Shorting Apple will be the most lucrative trade of the year.

http://peterlbrandt.com/would-jesse-livermore-be-looking-to-go-short-apple/

 

[skc]

A rare(?) divergent day between XJO (+1%) and China (-1.5%)... thoughts?

 

[Trembling Hand]

A rare(?) divergent day between XJO (+1%) and China (-1.5%)... thoughts?

End of quarter mark up by the locals?

 

[MRC & Co]

A rare(?) divergent day between XJO (+1%) and China (-1.5%)... thoughts?

I don't follow correlations as closely as I used to, but not to do with the weak AUD today?

:vader: haha, love the Vader helmet and I do miss taking tiny bits of intraday vol when there is little to no vol elsewhere ATM!

 

[sinner]

I don't follow correlations as closely as I used to, but not to do with the weak AUD today?

Not just a weak AUD against USD, but also the HKD smashed the USD quite hard (for that pair anyway) yesterday, todays session did nothing to reverse that flow. If you look at the AUDHKD directly it looks like a nice rejection off 8.2...