Road Trip Entry

JoeA

Member
@Tim:

Early in yesterday's meeting, you said that you won't be entering any Road Trips until the VIX maintains a level < 20. What's the reason for this? Thanks in advance.
 

Tim

Member
Staff member
I did a study of VIX vs RT profitability across all my trades. It showed two things: When VIX was above 25 very few RT were profitable, and if VIX rose more than 5 points during the trade they were also not profitable. Its the large price swings (up or down) that happen with VIX above 20 or 25 that make it difficult.
 

JoeA

Member
I did a study of VIX vs RT profitability across all my trades. It showed two things: ...

Nice research, and thanks for the clarity. If I remember correctly, the RTT has fixed point guidelines in lieu of something more adaptive such as SD's. Does this help explain your results?
 

Tim

Member
Staff member
Using fixed points was one way some traded RT. I didn't, instead use more statistical points like SD. No it doesn't explain the results any more, because primarily RT is a negative vega trade, and it's p/l is hurt when volatility (aka VIX) goes up.
 
Top