The stat arb spread between Tesoro & Valero unfortunately widened even further with news of  an acquisition of a refinery from British Petroleum at attractive prices. I had an opportunity to close the spread at what would’ve been an large but acceptable loss but instead held out further. These sort of things happen in stat arb world.

Volatility Trading Update

Volatility trading continues to be a bright spot after a very trying summer. My general bias had been to maintain a short vol bias which finally paid off in the August and September time frame. Whether good or lucky I went to a neutral volatility position in the first week of October. The past week has created a change in signal on my “macro” vol indicator:

The model is on neutral/sell. It’s very rare that I will get long volatility but should the market break down further I may buy VIX call spread or a far OTM VIX call.

To anyone new to the blog this performance represents real P&L in my account in this portion of the book. Unfortunately I run a few other strategies which at times can add or detract from this performance. At the current time a risk arb spread in Nexen is causing me some large short term pain!


~ by largecaptrader on October 27, 2012.

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