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Discussion in 'Options' started by Rod M, Nov 6, 2014.

  1. Rod M

    Rod M Well-Known Member

    After reading the articles by Len Yates and Larry McMillian on trading the VXX and XIV, I wanted to try to build their signal graphs in Interactive Brokers charting software.
    My understanding of the systems is that Len uses 2nd Month VIX futures minus front month VIX futures and Larry uses 3rd month VIX futures less front month VIX futures.
    The formula and chart settings I am using are in the attached PDF of my IB settings. If you are trading either Len or Larry’s system, I would welcome feedback as to how these charts compare with yours.

    To create the formula posted in the formula box, I did the following:
    1. On the IB quote page, set the Contract Display Mode to “Symbol Mode” which will then provide the actual symbols for the futures.
    2. Go to “edit” “chart parameters” “virtual security”
    3. "VXF5"/1000-"VXX4"/1000 This is the formula to Subtract the Value of November VIX futures from Jan VIX futures. When you type in the formula correctly, IB will automatically translate it as follows:
    "VIX JAN'15 @CFE"/1000-"VIX NOV'14 @CFE"/100
    The /1000 is simply to have a numeric value that corresponds with the ones in the Yates and McMillian systems.

    I am curious to see if this will have value to anyone, and if so, maybe we can build upon each others work.

    Attached Files:

  2. Rod M

    Rod M Well-Known Member

    The above is only one example....obviously the formula will need to be revised for different months.

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