Hey everyone! I’m considering keeping 50% of my margin open to seize opportunities on high VIX days when they occur. However, I’m a bit unsure if this strategy might hurt my overall performance
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Could anyone share how to analyze VIX patterns over the past 3 years? Specifically, I’m looking for tools or methods to track how often VIX shoots up or drops each month in the last 36 months .
Any insights or recommendations would be hugely appreciated!
Not the answer you asked for but I tried “analyzing” vix and gave up. To me it is just another indicator which reflects the past/present but can’t predict the future.
I now use the ATM straddle price as an indicator of whether options are overvalued or undervalued. If the expiry is N days away, then today at 9:45AM, based on historical data, there is a certain value which is the par price for the ATM Straddle. If the current price is above or below par, then options are expensive / cheap and may be a good time to enter a sell / buy trade. This has worked well for me the past few months (the general election day being a huge exception).
The VIX behaviour has totally changed , so not sure studying past data would be very helpful . So in in early 2024 the pattern was massive spikes in VIX followed with instant meltdown . For the last few months VIX starts rising early in the morning , allmost doubles and stay there till 2pm with zig zag movement in the underlying . This Tuesday was a good example . I couldn’t find a good way to trade it yet , both buying and selling on these days end up being very risky.