Все записи с тэгом VIX

Сложность стратегии:    

18 февраля в субботу звездный марафон в AllDerivatives! С утра 4-часовой опционный практикум с Виталием Калугиным по технике календарного спрэда – подробный разбор опыта 4,5 лет на Срочном рынке Мосбиржи. Вечером Михаил Нуждов расскажет об опыте «антихрупкой» алгоритмической торговли VIX ETF, а руководитель Академии водительского мастерства Александр Каминский – о техниках экстремального вождения.

16 февраля Виталий Калугин проведет 5-часовой семинар для корпоративных участников по способам и инструментам управления валютным и ценовым риском в бизнесе. Место проведения – офис Legal Expert на проспекте Мира.

Сложность стратегии:    
Ромуэл Шаипов: Алина, привет, в каком формате ты представляешь нашу дискуссию?

Алина Ананьева: Хороший вопрос 🙂 . Дискуссия получится, если ведущие подготовят тезисы и для затравки дадут свои идеи. Какие вопросы и в каком порядке надо решить, чтобы выйти на новую опционную стратегию? Кстати, список вопросов у вас ведущих может быть разный. Обдумайте с Олегом личный выбор по каждому пункту, а остальные участники будут соображать на месте. Ой, прощаюсь, выезжаем на велосипедную прогулку, буду читать ваши мысли по возвращении!

Олег Анферов: И я пришел с велосипедной тренировки! Уже начал думать в нужном направлении!

Ромуэл: Ладно, я сейчас тоже пойду бегать, раз вы все такие спортивные! Давай сначала набросаем несколько направлений (не обязательных, а какие придут в голову), а потом будем в этом мусоре копаться – вычеркивать проще, чем вписывать.

Олег: Можно идти от маленьких, но важных вопросов, по которым у большинства трейдеров есть что сказать: Читать →

В фокусе НОК-9 17 октября стратегии и прогнозы, инфраструктура и тенденции развития опционного рынка в России и в США. Народная опционная конференция – неизменное ежегодное место встречи профессионалов опционного рынка.

17 октября 2015 года в Москве, в конгресс-зале «Декларация» (ул. Летниковская, д. 10, стр. 5) при поддержке Инвестиционного Холдинга ФИНАМ, Freedom Finance, LowRisk и Kreedex Financial Group состоится IX Народная Опционная Конференция (НОК-9).

Направленные позиции на прогнозах по нефти, S&P500 и валютам, регламенты и подходы брокеров при управлении рисками торговли опционами, хеджирование российских производителей, торговля за океаном и в России – неполный список тем НОК-9.

В конференции участвуют ведущие российские опционщики, гуру и новички, алгоритмисты и хеджеры, представители брокерского и биржевого сообщества.

 

ПРОГРАММА

 

11:00—11:30 Регистрация
Секция 1 Торгуем отечественное
11:30—11:50 Нововведения на Срочном рынке: риск-модуль, недельные опционы, кросс-маржирование со спотом Кирилл Пестов, глава Срочного рынка Московской биржи
11:50—12:10 Подходы брокеров к нехватке ГО и применение регламентов при продаже волатильности (Финам, Открытие, Айти инвест, БКС, АТОН, Церих, КИТ-Финанс). Динамическое (Матрикс) и статическое ГО при продаже волатильности. Илья Коровин, частный опционный трейдер и управляющий (Калининград)
12:10—12:40 Риск-менеджмент и достаточность капитала в процессе опционной торговле. Круглый стол с брокерами. Николай Труничкин, глава рисков Срочного рынка Московской биржи (модератор)

Геннадий Кузнецов, ИХ ФИНАМ

Олег Филатов, Председатель правления ITinvest​

Максим Позняк, Открытие-брокер

Павел Сороковой, начальник управления Интернет-брокер, БКС

12:40—13:10 Практика хеджирования корпоративных клиентов от валютных и ценовых рисков с помощью инструментов Срочного рынка Московской биржи. Дискуссия Виталий Калугин, частный опционный трейдер и управляющий (Екатеринбург)
13:10—13:30 ​Ручная безрисковая стратегия купли путов и коллов на ЛЧИ-2015. Игорь Такоев, опционный трейдер и управляющий
13:30—14:30 Обед
Секция 2 Торгуем американское Модератор: Александр Субочев, председатель комитета по срочному рынку Московской Биржи
14:30—14:50 Направленные опционные стратегии в США в ожидании переломов на мировых биржевых и сырьевых рынках. Илья Алхимов, управляющий партнер Option Algorythmic Systems, Kreedex Financial Group (Таллин)
14:50—15:10 Конструирование структурной облигации с комбинированным купоном. Сергей Долинин, директор, Prime Capital Management
15:10—15:30 Америка vs Россия: торговля опционами на двух рынках. Михаил Гусев aka дядя Миша, частный опционный трейдер
15:30—15:50 Опционные стратегии в США: интрадей, среднесрочный портфель, популярные комбинации. Игорь Клюшнев, начальник департамента торговых операций, Freedom Finance
15:50—16:20 Полдник
Секция 3 Мастер-классы Модератор: Владимир Твардовский, управляющий директорУК Финам Менеджмент
16:20—16:35 Создание профессионального опционного прайсера на R: модели оценки, выбор среды, архитектура решения. Олег Мубаракшинquant-lab.ru
16:35—17:05 Зарабатываем на маркет-мейкинге с минимальным капиталом и новым инструментом TS Lab. Алексей Каленкович, частный трейдер,Андрей Артышко, TS Lab
17:05—17:50 Торговля опционами в отсутствие опционов. Владимир Твардовский, управляющий директор УК Финам Менеджмент
18:00-21:00 Кулуары: медовуха бочками, премьера Гимна Опционщика, Своя игра от ФИНАМ с призами

 

Общая модерация:

Алина Ананьева, директор НОК, LowRisk.ru и Финансовых Четвергов в AllDerivatives Cafe

__________________________________________________________________________

СПОНСОРСТВО И РЕКЛАМА

По вопросам спонсорства и рекламы обращайтесь к Алине Ананьевой +7 968 902-4699.

Максим Позняк БД Открытие

Личный выбор в пользу опционов Максим Позняк сделал в 1999-м, будучи частным трейдером и управляющим на глобальных биржевых рынках товарных производных. Считает, что торговля фьючерсами на суперликвидных commodities (нефть, природный газ и др.) едва ли отличима от лотереи. Зато опционы для математика (Максим окончил МФТИ по специальности «Прикладные математика и физика») понятнее и гораздо более предсказуемы, а сильный аналитический аппарат даёт преимущество в борьбе за прибыль и шанс поберечь нервные клетки.

Жёстким уроком риск-менеджмента для него стал кризис природного газа с остановкой торгов (минус 50%, что равнялось прибыли за предыдущие полтора года). Позже именно собственная система оценки опционных рисков, консультации по балансировке позиции и адекватное поведение брокера при маржин-колле стали клиентскими фишками компани и ОТКРЫТИЕ-брокер, куда Максим пришёл в 2004 году возглавить направление российского срочного рынка.

Поднять ФОРТС и занять на нём лидирующую позицию – такими были задачи. Простор для инноваций. Ещё до появления маркет-мейкеров компания создала опционный деск для физлиц. Деск работал от одного контракта, котировал любые биржевые опционы и даже опционные комбинации: спреды, кондоры и т.п. Другим проектом по стимулированию ликвидности стал онлайн-сервис Request for Quote, запущенный  вместе с Фондовой биржей РТС и ИК ОЛМА.

Максим – автор действующего индекса волатильности Московской биржи и один из соавторов новой формулы, которую мы обсудили на НОК-7 (что мешает индексу RVI быть «абсолютным божеством», почему 30-дневный период усреднения был невозможен при его запуске и почему нужен сегодня).

На НОК-9 примет участие в круглом столе c Московской Биржей и брокерами «Риск-менеджмент и достаточность капитала в процессе опционной торговле».

 

Создатель знаменитого софта для анализа опционной торговли Лен Йейтс рассказал делегатам VI Опционной конференции для частных инвесторов, как торговать нотами VXX и XIV, которые по сути являются опционами на «индекс страха» VIX.

Редактированная стенограмма доклада на VI Опционной конференции для частных инвесторов, 18.05.2013.

Greetings from America! I am happy being speaking to you today about very exciting and interesting trading approach. I’ll be talking today about trading the volatility products.

A VXX is the most popular one, so the title of my talk is ‘Trading VXX for Outstanding Returns’. This is a hot topic in the U.S., many are talking about it. As you will see trading the VXX is remarkably simple and promises very high returns. I’d been a trader and investor for forty years and I can tell you that this is the most exciting, most interesting thing that I’ve ever seen. In just a moment I’ll talk about what the VXX is.

Chart of the VXX (график цены VXX)

Pic.1. Chart of the VXX.

What the VXX is?

I want to begin by showing you a chart of the VXX (pic.1). The VXX came into existence only a few years ago, in February 2009. The price of VXX as you can see was falling dramatically at that time down to less than 2% of the original value. During this time there was several reverse splits, so it did not actually start at the 1’600, but because of the reverse splits it effectively did start at that price. Why does the VXX fall like this? It falls for a solid fundamental reason, and we will talk about that in a few minutes.

I want to bring your attention to two spots during the history – this spot here and this spot here. Those both were times of high volatility in the start-up market in the US that caused volatility to go up and that’s what caused VXX to go up. And I also want to draw your attention to a nice volume in recent times. There is a lot of trading in the VXX and mostly those are stock fund managers who are interested in it. As you may know when the stock market goes down, volatility goes up and the VIX goes up making the VIX an excellent hedge so stock managers are interested in buying some and adding it into their portfolio.

VXX prices

Pic-2. VXX prices

But of course the VIX cannot be bought and sold, it’s nothing but an index, so VIX futures were brought into existence. Now the stock fund managers can buy a volatility. Here some typical VIX futures and their possible prices (pic.2) they are available in consecutive months and usually with ascending price levels as you go out at a time. So a fund manager is buying some of these futures but of course futures eventually expire and when they do they have to buy more futures for the round. That is called rolling.

So the fund manager has to manage his position in the VIX future from time to time rolling his futures position out. Or he can put the money in the VXX and let someone else to do the futures management. The VXX is the ETN (exchange-traded note) representing a standard 30-day VIX futures price. You can think of the VXX as a fund holding nothing but a position in these futures. Ad in fact they are only holding positions of the first two of these futures contracts. VXX is nothing but a fund and its purpose is to hold proportional amounts of the first and second VIX futures contracts.

VXX prices (normal term structure)

Pic.3. VXX prices (normal term structure)

For example, let’s say we have a current situation that we have on the screen. The VXX will be holding 50% of the Januaries, 50% of the Februaries (pic.3). Maybe you can see why that is, because both of those futures contracts have a lifetime that is 16 days of 30. So the Januaries have 16 days less than 30, while a February has 16 days more than 30. So they simulate a 30-day position that way. The next day the VXX may shift its holdings – some of its holdings I should say – from the first into the second VIX futures, so now it will be holding 47% of the first contract and 53% of the second contract (pic.4).

 

VXX prices (normal term structure) - next day.

Pic.4. VXX prices (normal term structure) — next day.

Day by day the VXX fund manager must sell some of his holdings in the nearby contract and put the money into the next contract down. Eventually the day come when the February contract has exactly 30 days remaining of life and on that day the fund will be holding only one futures. Maybe you begin to see why the VXX gradually loses its money over time, because in normal circumstances the fund is selling low and buying high. We’ll come back to that again in a few minutes. First I want to show to you an interesting chart and the I’ll show to you the trading system itself. How easy the system is to follow and how amazing the returns are. Here is the chart showing a relative behavior of the VXX vs. the $SPX (pic.5). I assume that everyone knows that the SPX is S&P500 Index.

Charts of the VXX and SPX (графики цен VXX и SPX)

Pic.5. Charts of the VXX and SPX

You can see these moving opposite price behaviours, so that when the market is having a rough period as it was at this time when there was a flash crash and the volatility soared. Then eventually the storm passes and normal market behavior returns and the volatility goes down. Maybe you can see why stock fund managers want to buy the VXX as a hedge. However the long-term downward drift of the VXX is evident. You can see it here. Look at the price level of the SPX and now see where the VXX is. Now look out at time where the SPX returned to that price level, and where is the VXX now – quite a bit lower that it was before.

Trading System for VXX

VXX indicators at OptionVue

Pic.6. VXX indicators at OptionVue

As we begin to talk about the trading system for the VXX I must introduce our main indicator. In our system you’ll either be long or short on the VXX all over the time. The decision to be long or short to the VXX depends on the difference between the two nearby futures contracts. We in OptionVue developed a new indicator, a new index named $VXDIF (pic.7). It simply equals the price of the second future minus the price of the nearby future, and we are going to use a 15-day moving average for the $VXDIF.

Let’s show us a screen in OptionVue and how the $VXDIF appears in the quotes display (pic.6). We had to do something special because the $VXDIF could go negative and in our system we can’t have a negative price. So what we did we added a constant 10.00 to the $VXDIF. As a result

VXX indicator $VXDIF @OptionVue

Pic.7. VXX indicator $VXDIF @OptionVue

the number you should really look at when you’re looking at this in the program is ‘Change’. This way you are looking for example at 0.9 which means that currently the second VIX futures contract is 0.9 greater than the nearby futures contract.

Now let’s take a look at how well this $VXDIF calls the signals. I want to show to you how well it works and then we’ll talk about why it works. I am going to take you back to April 2009 and our main indicator is the solid blue line in the bottom section (pic.8). Whenever this line is in positive territory we need to be short to VXX. Now when I say we need to be short to VXX: if you cannot

Charts of the VXX, LVI and $VXDIF (графики VXX, LVI и$VXDIF)

Pic.8. Charts of the VXX, LVI and $VXDIF (графики VXX, LVI и$VXDIF)

be short to VXX or you’d rather be not short in ETN. There exists another ETN which is a mirror image, so whenever the VXX goes down, this other XIV goes up.

So whenever you hear me say ‘short to VXX’, just keep in mind that you could just as well buy the XIV. As you can see the VXX drops considerably during this period, then continuing into the next year (2010 – pic.9) it falls further. We see the blue line dip below the zero here and that’s the signal to go long to VXX but only for a short time as it turns out.

And the indicator is positive again which tells us again to be short to VXX. And then going forward into the next year (pic.10), this will bring us all the way up to March 2012, which is the termination point per study. We discuss the study results first and then I’ll tell you what the

Charts of the VXX, LVI and $VXDIF 2010 (графики VXX, LVI и$VXDIF)

Pic.9. Charts of the VXX, LVI and $VXDIF 2010.

actual results have been since that time. But as you can see that in the later part of 2011 and early part of 2012 the indicator went negative here telling us to be long to VXX. So we would have bought it here and held it until right about this point. And at this point the indicator said to be short again, so we are short during this fall. Now here are the results of my study: an amazing 54,5 times your money in the 3,5-year period from 30th January 2009. Picture 11 shows the six positions you’d held. First, long VXX, then long XIV, then long VXX etc. And then the sum of your profits. Assuming that you would reinvest all of you money all the time.

 

Charts of the VXX, LVI and $VXDIF 2011 (графики VXX, LVI и $VXDIF)

Pic.10. Charts of the VXX, LVI and $VXDIF 2011.

I have to mention that the XIV didn’t really exist during the whole time of the study, so I had to simulate what it would have been while projecting backward at time, which was easy to do by simply… you see the XIV moves the same percentage as the VXX day by day, only in the opposite direction. So it was easy to project the prices back in time by using the inverse percentage of daily price moves. Now as impressive as is the returns’ look I was not happy with how the program called the turns at the start of trouble period. For example if you take a look at this (arrow A, pic.10), you will see it crossed on this day which would have been approximately right about here. It seemed to be two or three days later that bothered me. Likewise there is the start of the other difficult time in the stock market (arrow B, pic.10), the signal change was very late.

VXX and XIV historical profit.

Pic.11.VXX and XIV historical profit.

Lentz volatility indicator (LVI)

Pic.12. Lentz volatility indicator (LVI)

I looked for an indicator that might assist me, an additional indicator that would be a help on this, and I found one – the LVI (Lentz Volatility Indicator), actually the indicator developed by someone who works at OptionVue. The LVI show when the volatility is increasing. You can see these bars extended downward telling us that volatility is increasing (pic.12). We are talking about actual volatility, real price movement. On the other hand when the bars are above the line like this, that means volatility is decreasing. You can see that we have this indicator overlapped on our screen and it would apparently had given us a good advance notice. Most interesting was the early warning that we got from this indicator before the flash crash (arrow A, pic.9).

VXX and XIV refined approach profit.

Pic.13. VXX and XIV refined approach profit.

By adding using the LVI indicator we had a new set of results (pic.13). It seemed to have helped a lot to make a switch just two or three days earlier. What we show now is the remarkable 79 times your money in 3,5 years. This study was performed in mid-March of the last year (2012). In three weeks after that we published an article and incorporated the tools into OptionVue. That made it easy for everyone to trade this system. This is not an updated slide as I can see as it does not bring us up to the present, but it does point out that our clients are actually up. By 128% , that’s the actual result (not 70% as shown on pic.14).

XIV chart with LVI and $VXDIF indicators

Pic.14. XIV chart with LVI and $VXDIF indicators

Why the system works?

Now let’s turn to why the system works. It’s important to understand this because as an investor you need to feel confident that the system has a solid foundational reason why it should continue to work. Let’s talk about roll yield.

VXX prices (normal term structure)

Pic.15. VXX prices (normal term structure)

Each day the VXX fund must sell some of its holdings in a nearby futures contract and buy more of the second VIX futures contract. This is called ‘rolling’. You also need to know about the term called ‘term structure’. In a ‘normal’ term structure (pic.15), as you can see here, prices are higher in the longer duration contracts. The other kind of term structure is called ‘backward’ (pic.16). In a backward term structure the prices go lower as you go further in time.

VXX prices (backward term structure)

Pic.16. VXX prices (backward term structure)

Now we are ready to understand the main point. When a normal term structure exists, the rolling yield is negative as the fund must buy futures at a higher price (the second contract) than the ones it is selling. And when a backward term structure exists the roll yield is positive as the fund may sell futures at a higher price (the nearby contract), well, buying contract of the second month at a lower price. So, in this situation the VXX fund is making money day by day. To summarize that effect of roll yield: in a normal term structure negative roll yield depresses the VXX price, and in a backward term structure positive roll yield enhances the VXX price. Can you

Effects of roll yield and volatility changes (влияние доходности от роллирования и волатильности на цену VXX)

Pic.17. Effects of roll yield and volatility changes.

see these two forces to work?

Let’s not forget that the VXX also represents the volatility, so as volatility increases the VXX rises and as volatility decreases the VXX falls. Summarizing: the two forces affecting the VXX price are changing volatility levels which are very impactive and immediate. And roll yield has a very slow, steady effect.

Let’s take the situation when the market is in the serious sell-off (arrow A, pic.5). The VXX goes

Charts of the VXX and SPX (графики цен VXX и SPX)

Pic.5. Charts of the VXX and SPX

up here for both reasons: because the volatility is increasing and because the term structure is backward at this time adding an extra boost to the VXX.

I want to give you a word of warning: these volatility instruments are volatile. So don’t jump into too much money right away! Let megive you an example. After our clients bought in at about 10.7, the XIV dipped down to 8.1 in just 5 weeks. So… We all had to go through that. Also the use of stops is not recommended. As a part of my study I tried that, I tried putting varied stop rules into effect and they always seemed to make things worse.

Now, in OptionVue there are several tools available to you.

  • $VXDIF      Difference between the two nearest term VX futures (we mentioned it earlier)
  • $VX30        30-Day forward price of the VX futures (a nice index, proprietary again)
  • $VXXFV     Fair value of the VXX
  • $XIVFV      Fair value of the XIV
  • $VXXDRE  Daily roll effect for the VXX
  • $XIVDRE   Daily roll effect for the XIV
  • The Lentz Volatility Indicator

For example, a typical daily roll effect ($XIVDRE) you might see for XIV might be 0.08 meaning that day by day if you are holding the XIV you should be making 8 cents per day.

I hope that this trading approach is interesting to you but please read more about it before you do anything. You can search the worldwide web in general for information but also we have a web page www.optionvue.com/vxx.html with many articles and recorded videos. And of course you can call and talk to our representative Mikhail Pankov (www.optionvue.ru).

I want to mention that the XIV and the VXX are not the only volatility instruments out there. Two others that are available are VIXY that moves like the VXX and and SVXY that moves like the XIV.

  • VXX   =  an iPath ETN from Barclays
  • XIV   =  VelocityShares ETN from Credit Suisse
  • VIXY   =  ProShares ETF that moves like the VXX
  • SVXY   =  ProShares ETF that moves like the XIV

The first two are ETNs and the second two are ETFs you may have different tax treatments for these two kinds of things. We do in the US.

К списку всех видео и текстов НОК-6