Daily log??


What I’m monitoring everyday

Everyday after closed US market, I check CBOE website and pick up some numbers from “VX – Cboe Volatility Index (VX) Futures” tables. (note 1)

They are 6 numbers, for 6 months I mean, from shorter-dated contract to longer-dated contract. Monthly not weekly. This is an example of 3/8/2023.

Then, Put these numbers into the matrix like this.

Make a line graph.

My main strategy is to use calendar spreads, 1 month difference (1m), 2 months difference (2m) and 5 months (5m). So, I trace these difference numbers from open to maturity like this.

I post these data/charts as “daily log” every day with my personal comments about them.

I’ll post my basic rules, later.

(note 1) Provided as a courtesy by Cboe Exchange, Inc. (Cboe)