check01 vix001 I have been trading VIX related products pretty

http://onlyvix.blogspot.com/

 

And The Winner Is ...

 

 

I am super-excited to announce the winner of volatility forecasting contest. VRO printed out this morning at 19.10, making reader Vamsi the winner of $100 prize (forecast 18.44 was closest with difference of 0.66 = |18.44-19.10| I will hopefully be able to get their perspective on VIX forecast. Meanwhile I should note that my own forecast of 19.71 came only 0.61 away. You can follow my monthly volatility forecasts here.

UPDATE: Vamsi described his personal trading in a private email:

I have been trading VIX related products pretty much from the time VIX futures were introduced. My trading style is Global Macro. My main strategy is to run a short vol book with hedges from commodity, forex and interest rate markets, wherever I see relative value. The key is risk management. The gains take care of themselves.
I don’t forecast VIX levels and trade off these levels. My entry was just where VIX probably closed for the day. I entered the context because I love free options and one of them ended in the money today!

所有跟帖： 

• check01 vix001 tylerstrading.com The recent plunge has also bro -marketreflections- ♂ (2525 bytes) () 08/01/2011 postreply 14:12:45

• check01 vix001 http://www.diffresearch.com/# Daily Recap -marketreflections- ♂ (6553 bytes) () 08/01/2011 postreply 14:25:23

• vix001 08012011 www.diffresearch.com/ -marketreflections- ♂ (188 bytes) () 08/01/2011 postreply 17:52:34

• 万有引力本身并不是最基本的力，而是更加基本的自由度引起的宏观现象，具体地说就是熵力 -marketreflections- ♂ (1218 bytes) () 08/01/2011 postreply 20:58:45

• future01 http://www.hedgeaccording.ly/ -marketreflections- ♂ (14531 bytes) () 09/13/2011 postreply 13:58:08

• www.stocktiming.com/ vix01 created a hypothetical at-the-money o -marketreflections- ♂ (7791 bytes) () 09/13/2011 postreply 14:41:12

• check01 vix001 gammar0 us1.campaign-archive1.com/home -marketreflections- ♂ (222 bytes) () 09/13/2011 postreply 14:57:16

• fed01 The premium received from the sale of the naked put is fin -marketreflections- ♂ (2789 bytes) () 09/13/2011 postreply 15:06:31

• gammar01 blog.commodityandderivativeadv.com -marketreflections- ♂ (198 bytes) () 09/13/2011 postreply 15:13:47

• check01 vix001 gammar0 the historical ratio of the two is 1.45 ( -marketreflections- ♂ (1584 bytes) () 09/13/2011 postreply 15:20:53

• "Barclays Index Volatility Weekly " VIX at Biggest Discount to E -marketreflections- ♂ (26686 bytes) () 09/13/2011 postreply 15:45:56

• 回复：check01 vix001 gammar0 Dow Jones EURO STOXX 50 Volatility Ind -marketreflections- ♂ (122 bytes) () 09/13/2011 postreply 15:48:25

• check01 vix001 gammar0 onlyvix.blogspot.com/ -marketreflections- ♂ (131 bytes) () 09/13/2011 postreply 15:52:09

• gammar01 VIX represents one standard deviation of the market’s -marketreflections- ♂ (863 bytes) () 09/13/2011 postreply 15:28:50

• •VIX of 48 – 1/3 of the time the SPX will have a daily cha -marketreflections- ♂ (3736 bytes) () 09/13/2011 postreply 15:33:02

• check01 vix001 VIX of 32 is about 1.4x SPX realized volatility 3 -marketreflections- ♂ (2467 bytes) () 09/13/2011 postreply 15:39:49

• check01 vix001 Todd Salamone Friday's VIX high of 39.25 was 68% -marketreflections- ♂ (1539 bytes) () 09/13/2011 postreply 16:09:48

• check01 vix001 3m SPX Realized Volatility (RHS) www.macroriskadv -marketreflections- ♂ (4584 bytes) () 09/13/2011 postreply 16:12:04

• check01 gammar01 www.rjofutures.com/market-news/2011/09/12/globa -marketreflections- ♂ (188 bytes) () 09/13/2011 postreply 16:18:57

• check01 vix001 Adam Warner Implied Volatility does a better job -marketreflections- ♂ (12692 bytes) () 09/13/2011 postreply 15:59:08

• check01 vix001 Adam Warner Ryan Renicker alphatrades.blogspot.c -marketreflections- ♂ (2996 bytes) () 09/13/2011 postreply 16:05:51

• check01 vix001 Adam Warner dailyoptionsreport.com/ -marketreflections- ♂ (82 bytes) () 09/13/2011 postreply 16:21:56

• check01 www.quantessential.com -marketreflections- ♂ (128 bytes) () 08/01/2011 postreply 14:40:34

• check01 www.mcoscillator.com/ -marketreflections- ♂ (78 bytes) () 08/01/2011 postreply 14:46:50

• check01 ripetrade.blogspot.com/ -marketreflections- ♂ (82 bytes) () 08/01/2011 postreply 14:48:39

• check01 vix001 communities.cboe.com/t5/What-s-On-Our-Minds -marketreflections- ♂ (246 bytes) () 08/01/2011 postreply 14:55:02

• A stock with escalating put demand would also drive the options’ -marketreflections- ♂ (4776 bytes) () 08/01/2011 postreply 15:52:50

• Leftback This is a nice set-up for a YC steepener. Shorts at the -marketreflections- ♂ (916 bytes) () 08/01/2011 postreply 16:16:40

• strong positive (negative) relation between call (put) holdings -marketreflections- ♂ (1214 bytes) () 08/01/2011 postreply 16:27:41

• check01 Harriet Agnew http://www.carlinfutures.com hedge fund -marketreflections- ♂ (3589 bytes) () 08/01/2011 postreply 17:37:52