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Macro Economist

 
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  • A Once In Few Years Opportunity Presents Itself [View article]
    When VIX has big impulsive moves, I find the stochastics and MACD on XIV and/or VXX a good indicator to use to exit.

    In really big multi-year moves 200 day Bollinger bands work well...those sorts of moves don't come often though.
    Apr 29, 2014. 04:12 PM | 1 Like Like |Link to Comment
  • A Once In Few Years Opportunity Presents Itself [View article]
    Love it. You're right.
    Apr 29, 2014. 04:09 PM | Likes Like |Link to Comment
  • A Once In Few Years Opportunity Presents Itself [View article]
    VXX would fall in your scenario, market would likely rally, all else equal.

    Those who are selling vol and picking pennies in front of a steamroller will live another day.
    Apr 29, 2014. 07:56 AM | 2 Likes Like |Link to Comment
  • A Once In Few Years Opportunity Presents Itself [View article]
    You are basing the roll yield on very low levels of absolute volatility. If I take two small numbers and divide them, I can get a big percentage which makes VXX look unattractive whenever there is contango.

    Is roll yield a risk, yes of course. I thought by letting you know that this ETN is down 99.5%, that I highlighted there are many risks here.

    But would you rather pay roll yield AND watch the VIX curve fall or would you rather be at a floor on VIX and pay the least roll yield, on a 3 month moving average basis, since 2011?
    Apr 29, 2014. 07:25 AM | Likes Like |Link to Comment
  • A Once In Few Years Opportunity Presents Itself [View article]
    If it works you'll make 2x what I did. If it doesn't, you will lose 2x.
    Apr 28, 2014. 04:07 PM | Likes Like |Link to Comment
  • A Once In Few Years Opportunity Presents Itself [View article]
    I am recommending backing up the truck now and exiting in 30-60 days and/or at stop loss and even if I lose, being proud that I took a big bet at a very asymmetric moment in time.

    No clue about year end. I hope I can buy XIV!
    Apr 28, 2014. 03:32 PM | Likes Like |Link to Comment
  • A Once In Few Years Opportunity Presents Itself [View article]
    No, but that's an interesting since the calls on the VXX are probably undervalued too.
    Apr 28, 2014. 03:31 PM | Likes Like |Link to Comment
  • XIV Returned 41% A Year For 3 Years: How To Make It Better With Less Risk. [View instapost]
    Fred, I have the underlying benchmarks on VXX and VXZ since December 2005 if you want to PM me. I can backtest your strategy for you (I have my own).
    Apr 28, 2014. 02:05 PM | Likes Like |Link to Comment
  • A Once In Few Years Opportunity Presents Itself [View article]
    Entry 41.5

    Stop Loss 39.5

    Upside Case Exit 70-80

    Upside/Downside: ~15:1
    Apr 28, 2014. 12:15 PM | 2 Likes Like |Link to Comment
  • A Once In Few Years Opportunity Presents Itself [View article]
    In 2011, I did it with front month futures in the VX.

    I bought my house in Florida with that money. :-)

    This time it's in the ETNs.
    Apr 28, 2014. 11:56 AM | 5 Likes Like |Link to Comment
  • A Once In Few Years Opportunity Presents Itself [View article]
    The article IS implying the possibility of a "short squeeze" on volatility in all its many manifestations.

    Such a short squeeze would cause XIV to fall. But I am not sure how you make the leap in implying that I and others are saying a fall in XIV is what causes VXX to go up.

    XIV is a quick and dirty proxy to see how sellers of volatility have done, whether those sellers be in the futures market, using margin debt for equity trading, momentum trading, etc.
    Apr 28, 2014. 11:54 AM | 1 Like Like |Link to Comment
  • A Once In Few Years Opportunity Presents Itself [View article]
    When I reread the article, I realize I only put a 50% haircut on XIV.

    I think VXX could double from current levels.
    Apr 28, 2014. 11:34 AM | 1 Like Like |Link to Comment
  • The Junk Bond Market Is Telling You To Sell Stocks [View article]
    Fantastic article. People some how mentally divorce themselves from the fact that junk bond spreads being as tight as they are and treasury yields being as low as they are, make a toxic combination for future returns on risky assets.

    In fact, I can pretty much tell you that my expected 5 year returns on the market are 3.5% p.a. which is the loss adjusted yield of the ML high yield bond index (assuming 5% default rate p.a. and 50% recovery). Just like I could have told you it was 20% p.a. at the end of 2008.
    Apr 15, 2014. 10:09 PM | Likes Like |Link to Comment
  • Advanced Micro Devices' Biggest Catalyst For 2014 Is The 'Little' Chip [View article]
    Herein lies an example of the value of Seeking Alpha. Stock came up on my proprietary screener.

    Great article.

    You've convinced me.
    Apr 9, 2014. 10:52 AM | Likes Like |Link to Comment
  • E-House: A Hidden Chinese Internet Monetization Opportunity [View article]
    I am going to put it out there to anybody who follows me on S.A.

    EJ is one helluva a mispriced stock at these levels.
    Apr 8, 2014. 11:29 AM | Likes Like |Link to Comment
COMMENTS STATS
433 Comments
427 Likes