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Macro Investor
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I was trained in finance, but work in strategy. I invest very infrequently, and balance my portfolio once a year. I buy and hold hold indices and volatility ETFs. I trade a little bit on the side, but that's pure gambling, for fun.
My blog:
Too Big To Take
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  • What Just Happened?

    VIX rose 32% today (7/17). Impressive.

    First there was the plane, then there were the tanks. I bought VXX puts on the first spike, and sold for about 25% gain. I again bought VXX puts on the second spike, and got creamed.

    So I bought more, and now at the end of the day I am flat.

    What just happened?

    Well, this was a 5-sigma event. In the history of the VIX, there has been 13 days where VIX went up 32% or more. 13 days. Out of some close to 25 years of trading for the VIX. Odds of 0.2%.

    In 9 of these days, next day VIX fell sharply by average of ~15%. In another 3 days, VIX was up by a max of ~1%.

    But yes, there has be one case where vix rose 30 some percentage points in one day, and another 20 some percentage points the next day. That is 1 in 6500. Some odds.

    So I am boldly predicting that tmrw 7/18 VIX will fall by 10-15%, VXX by 2-3%, and my puts will go up by 50-60%.

    I feel bad to profit from human misery. But there it is.

    Best of luck everyone for tmrw.

    Jul 17 9:34 PM | Link | 23 Comments
  • S&P500 Still Projected To Hit 2100 By End Of Year

    I had written an article last year predicting S&P500 end 2013 price of $1950 and end 2014 of $2100. I just updated by 2014 predictions using the same methodology (for details, click the link to see the methodology in my original article). The key factor is what the 10 year would be at in the end of 2014.

    End year 10-year TreasuriesEnd year S&P500
    2.40%$2,404
    2.45%$2,337
    2.50%$2,273
    2.55%$2,212
    2.60%$2,155
    2.65%$2,101
    2.70%$2,049
    2.75%$2,000
    2.80%$1,953
    2.85%$1,908
    2.90%$1,866
    2.95%$1,825
    3.00%$1,786

    At the current ~2.65% for the 10-year, S&P500 should still be at ~$2100 by end of year. However, notice the sensitivity to the interest rate. I hope the rates remain steady to trending low.

    Disclosure: The author has no positions in any stocks mentioned, and no plans to initiate any positions within the next 72 hours.

    Tags: SPY
    Jul 06 12:41 PM | Link | 11 Comments
  • Long Straddle On SVXY

    Just tested the effect of a long straddle on SVXY.

    Time period: Jan to Jan (1 year)

    Strike: At the Money

    Put share: 50%

    Call Share: 50%

    IV: 53% (the current one)

    Average annual return from 2005-2014 : 120%

    Max annual Drawdown: Amazingly, this strategy is not down even a single year.

    YearReturn
    201358.1%
    2012290.8%
    20110.5%
    2010303.3%
    2009289.1%
    200876.1%
    200752.0%
    2006121.2%
    2005112.8%

    If I increase IV to 60%, average annual return is 95%, and max annual drawdown is -11%.

    This is as lazy as a strategy can be. Basically no thinking involved.

    Disclosure: The author is long SVXY.

    Tags: SVXY
    Jul 06 10:24 AM | Link | 25 Comments
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  • My metric R is at -3%, getting close to the -4% to switch to $UVXY
    Aug 1, 2014
  • Bought 8/8 expiration $VXX puts strikes 27, 27.5, 28, 28.5, and 29. will buy more tmrw. Up about 10% for now.
    Jul 28, 2014
  • I will be buying $VXX puts Monday close of business and Tuesday mid day and close of business
    Jul 25, 2014
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