Vix Trades Aug 12 to 16

Date

Time Str C/P

8/12/2013 8:40 15 C
8/13/2013 12:30

Inst

Qty

30-Aug -100
VXX
4400

Price
0.67
14.8

Close

Diff

0.45 -0.22
14.4 -0.4

Vol
54
53.5

Greeks
Cst
D G
V
T
44 210.45 1.4 2.5 100
44

NET P&L 440

8/15/2013 12:31 15 C
8/19/2013 9:30

30-Aug -100 0.77

VXX
5000 15.15

0.62 -0.15
15.07 -0.08

54.5
50.5

50 220.87

Rationale behing the trade

Earnings season over low volumes
compared to normal days so went
short

1.3 2.91 100

51 Market was down and stabilized down

NET P&L 949

8/15/2013 12:42 17 C
17 C
8/19/2013 9:30 17 C

30-Aug 200
23-Aug -140
6-Sep -100

0.3
0.17
0.44

0.22 -0.08 69/66** 22 132.38 0.66 2.86 200

0.06 -0.11 73/67.5 14 137.85 1.02 3.37 100
0.33 -0.11 71/69.4 25 124.6 1.28 2.75 100

NET P&L 640

**69/66 : means I opened trade at 69 vol and closed at 66 vol

Calendar volatility skew

2010
2011
2012

2
2.3
4
3.5

Jan-12
Feb-12
Mar-12
Apr-12
May-12
June-12
July-12
Aug-12
Sept-12
Oct-12
Nov-12
Dec-12
Jan-13
Feb-13
Mar-13
Apr-13
May-13
June-13
July-13
Aug-13

1312.41
1365.68
1408.47
1397.91
1310.33
1362.16
1379.32
1406.58
1440.67
1412.16
1416.18
1426.19
1498.11
1514.68
1569.19
1597.57
1630.74
1606.28
1685.73
1663.5

YTD

19.44%
18.43%
15.50%
17.15%
24.06%
17.08%
18.93%
17.47%
15.73%
18.60%
15.87%
18.02%
14.28%
15.51%
12.70%
13.52%
16.30%
16.86%
13.45%
13.98%

8.15%
7.19%
6.39%
5.85%
6.15%
7.25%
7.50%
5.40%
3.50%
-0.15%
-0.80%
4.96%
5.35%
5.75%
4.95%
5.15%
6.19%
7.15%
8.15%
9.15%

19.44
18.43
15.5
17.15
24.05
17.08
18.93
17.47
15.73
18.6
15.87
18.02
14.28
15.51
12.7
13.52
16.3
16.86
13.45

1700
1650
1600
1550
1500
1450
1400
1350
1300

1700

30%

1650

25%

1600

20%

1550
15%

1500
10%

1450
1400

5%

1350

0%

1300

-5%