Full index of posts »
StockTalks

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
Latest Comments
 yichzhang2 on New SVXY Strategy I mean R>5.3, This is also a sign of VIX con...
 ianxponent on New SVXY Strategy I would think you'd want to buy SVXY when VIX i...
 yichzhang2 on New SVXY Strategy Also, I tested ZIV and found that if we simply ...
 yichzhang2 on New SVXY Strategy hi Macro, I test this model these days and foun...
 William Andrew on Long Straddle On SVXY Would it make a significant difference if you b...
Most Commented
 New SVXY Strategy (113 Comments)
 Simpler SVXY Strategy (46 Comments)
 Long Straddle On SVXY (28 Comments)
 What Just Happened? (23 Comments)
 4 Things To Keep In Mind For Volatility Investors (14 Comments)
View Macro Investor's Instablogs on:
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 5sigma 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 1015%, VXX by 23%, and my puts will go up by 5060%.
I feel bad to profit from human misery. But there it is.
Best of luck everyone for tmrw.
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.
At the current ~2.65% for the 10year, 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.
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 20052014 : 120%
Max annual Drawdown: Amazingly, this strategy is not down even a single year.
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.